Abstract

AbstractWe 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.KeywordsBrownian MotionBrownian BridgeBessel ProcessRejection MethodRandom Variate GenerationThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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