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On Exact Simulation Algorithms for Some Distributions Related to Brownian Motion and Brownian Meanders

In: Recent Developments in Applied Probability and Statistics

Author

Listed:
  • Luc Devroye

    (McGill University, School of Computer Science)

Abstract

We survey and develop exact random variate generators for several distributions related to Brownian motion, Brownian bridge, Brownian excursion, Brownian meander, and related restricted Brownian motion processes. Various parameters such as maxima and first passage times are dealt with at length. We are particularly interested in simulating process variables in expected time uniformly bounded over all parameters.

Suggested Citation

  • Luc Devroye, 2010. "On Exact Simulation Algorithms for Some Distributions Related to Brownian Motion and Brownian Meanders," Springer Books, in: Luc Devroye & Bülent Karasözen & Michael Kohler & Ralf Korn (ed.), Recent Developments in Applied Probability and Statistics, pages 1-35, Springer.
    • Handle: RePEc:spr:sprchp:978-3-7908-2598-5_1
    DOI: 10.1007/978-3-7908-2598-5_1
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