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

  • Luc Devroye

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.

Keywords

Brownian Motion Brownian Bridge Bessel Process Rejection Method Random Variate Generation 
These 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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Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  1. 1.School of Computer ScienceMcGill UniversityMontrealCanada

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