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Adding interior points to an existing Brownian sheet lattice

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  • Toth, Daniell

Abstract

We compute the conditional distribution of new interior points of a given a lattice representing a path of a Brownian sheet process in discrete time. This is done so that we can simulate paths of this multi-parameter Gaussian process by refining previously simulated paths, which allows one to refine a particular area of the path that is of interest.

Suggested Citation

  • Toth, Daniell, 2004. "Adding interior points to an existing Brownian sheet lattice," Statistics & Probability Letters, Elsevier, vol. 66(3), pages 221-227, February.
    • Handle: RePEc:eee:stapro:v:66:y:2004:i:3:p:221-227
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    References listed on IDEAS

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    1. D. P. Kennedy, 1994. "The Term Structure Of Interest Rates As A Gaussian Random Field," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 247-258, July.
    2. Goldstein, Robert S, 2000. "The Term Structure of Interest Rates as a Random Field," The Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 365-384.
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