An integral equation for Root's barrier and the generation of Brownian increments
arXiv:1309.5877 · doi:10.1214/14-AAP1042
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.
Published at http://dx.doi.org/10.1214/14-AAP1042 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)