Abstract
We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applicable, returns the location of the path at a random collection of time instances. The path can then be completed without further reference to the dynamics of the target process.
Citation
Alexandros Beskos. Gareth O. Roberts. "Exact simulation of diffusions." Ann. Appl. Probab. 15 (4) 2422 - 2444, November 2005. https://doi.org/10.1214/105051605000000485
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