A "One-line" Simulator for Maxima or Minima on Drifting Brownian Paths
A simple transform of a standard uniform variate is given for simulation of the maximum attained by a Wiener process with drift, conditioned upon the level attained by the process over an arbitrary time interval. The transform arises directly from inversion of the joint distribution function of the maximum and the final Wiener process level.
|Date of creation:||29 May 2002|
|Date of revision:|
|Note:||Type of Document - PDF; prepared on IBM PC pdfLatex; to print on HP; pages: 5 ; figures: none. none|
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