AN INTEGRAL EQUATION FOR ROOT'S BARRIER AND THE GENERATION OF BROWNIAN INCREMENTS

• 成果类型: Article
• 署名作者: Gassiat, Paul; Mijatovic, Aleksandar; Oberhauser, Harald
• 署名单位: Technical University of Berlin; Imperial College London; University of Oxford
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/14-AAP1042
• 发表日期: 2015
• 页码: 2039-2065
• 关键词: stopping-times; BOUNDARY; american

摘要

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.