Zaeem A. Burq

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We show how to simulate Brownian motion not on a regular time grid, but on a regular spatial grid. That is, when it first hits points in δZ for some δ > 0. Central to our method is an algorithm for the perfect simulation of τ , the first time Brownian motion hits ±1. This work is motivated by boundary hitting problems for time-changed Brownian motion, such(More)
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