Open Access
August 2015 An integral equation for Root’s barrier and the generation of Brownian increments
Paul Gassiat, Aleksandar Mijatović, Harald Oberhauser
Ann. Appl. Probab. 25(4): 2039-2065 (August 2015). DOI: 10.1214/14-AAP1042

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.

Citation

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Paul Gassiat. Aleksandar Mijatović. Harald Oberhauser. "An integral equation for Root’s barrier and the generation of Brownian increments." Ann. Appl. Probab. 25 (4) 2039 - 2065, August 2015. https://doi.org/10.1214/14-AAP1042

Information

Received: 1 October 2013; Revised: 1 April 2014; Published: August 2015
First available in Project Euclid: 21 May 2015

zbMATH: 1328.60103
MathSciNet: MR3349001
Digital Object Identifier: 10.1214/14-AAP1042

Subjects:
Primary: 45Gxx , 60G40 , 65C05
Secondary: 65C30 , 65C40

Keywords: integral equations for free boundaries , Root solution , simulation of Brownian motion , Skorokhod embedding problem

Rights: Copyright © 2015 Institute of Mathematical Statistics

Vol.25 • No. 4 • August 2015
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