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arXiv · 1309.5877

An integral equation for Root's barrier and the generation of Brownian increments

Paul Gassiat·Aleksandar Mijatović·Harald Oberhauser
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Abstract

We derive a nonlinear integral equation to calculate Root's solution of the Skorokhod embedding problem for atom-free target measures. We then use this to efficiently generate bounded time-space increments of Brownian motion and give a parabolic version of Muller's classic "Random walk over spheres" algorithm.

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Paul Gassiat, Aleksandar Mijatović, Harald Oberhauser. 2015-06-19. An integral equation for Root's barrier and the generation of Brownian increments. https://doi.org/10.1214/14-aap1042

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