An integral equation for Root’s barrier and the generation of Brownian increments

Gassiat, P; Mijatović, A; Oberhauser, H

Journal article

An integral equation for Root’s barrier and the generation of Brownian increments

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.

Publication status:: Published

Peer review status:: Peer reviewed

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APA Style

Gassiat, P., Mijatović, A., & Oberhauser, H. (2015). An integral equation for Root’s barrier and the generation of Brownian increments. Annals of Applied Probability, 25(4), 2039–2065.

MLA Style

Gassiat, P., et al. “An Integral Equation for Root’s Barrier and the Generation of Brownian Increments.” Annals of Applied Probability, vol. 25, no. 4, Institute of Mathematical Statistics, 2015, pp. 2039–65.

Chicago Style

Gassiat, P, A Mijatović, and H Oberhauser. 2015. “An Integral Equation for Root’s Barrier and the Generation of Brownian Increments.” Annals of Applied Probability 25 (4): 2039–65.
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Files:: euclid.aoap.1432212436...

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Publisher copy:: 10.1214/14-AAP1042

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+ Gassiat, P More by this author

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+ Mijatović, A More by this author

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+ Oberhauser, H More by this author

Institution:

University of Oxford

Division:

MPLS

Department:

Mathematical Institute

Oxford college:

St Hugh's College

Role:

Author

Bibliographic Details

Publisher:: Institute of Mathematical Statistics Publisher's website
Journal:: Annals of Applied Probability Journal website
Volume:: 25
Issue:: 4
Pages:: 2039-2065
Publication date:: 2015-05-21
DOI:: 10.1214/14-AAP1042
ISSN:: 1050-5164

Item Description

Keywords:: Skorokhod embedding problem

SBTMR

simulation of Brownian motion

Root solution

integral equations for free boundaries
Pubs id:: pubs:548184
UUID:: uuid:c9a8c46a-ab0b-4e01-ad38-fc6af1752470
Local pid:: pubs:548184
Source identifiers:: 548184
Deposit date:: 2018-03-21

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Copyright holder:: Institute of Mathematical Statistics

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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Journal article

An integral equation for Root’s barrier and the generation of Brownian increments

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