We give a new relatively compact proof of the famous identity for the distribution of the first hitting time of a linear boundary by a skip-free process with stationary independent increments. Theâ€¦ (More)

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 Î´Z for some Î´ > 0. Central to our method is an algorithm forâ€¦ (More)