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

作者：Gassiat Paul^*; Mijatovic Aleksandar; Oberhauser Harald

来源：Annals of Applied Probability, 2015, 25(4): 2039-2065.

DOI：10.1214/14-AAP1042

• Skorokhod embedding problem
• Root solution
• simulation of Brownian motion
• integral equations for free boundaries

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.

• 出版日期2015-8