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
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
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