5 papers · 1 filter
Pattern block method for generating random numbers : Reformulation and generalization of the Ziggurat method using conditional random variables
Kensuke Ishitani
The Ziggurat method is an efficient rejection sampling technique for generating one-dimensional normally distributed random numbers. This study proposes the pattern block method, a…
Construction and sample path properties of diffusion house-moving between two curves
Kensuke Ishitani, Soma Nishino
This study aims to construct a stochastic process called ``diffusion house-moving,'' which is a diffusion bridge conditioned to stay between its starting point and its ending point…
Higher order integration by parts formulae for Wiener measures on a path space between two curves
Kensuke Ishitani, Soma Nishino
We have formulated higher-order integration by parts formulae on the path space restricted between two curves, with respect to pinned/ordinary Wiener measures. The higher-order int…
On the weak convergence of conditioned Bessel bridges
Kensuke Ishitani, Tokufuku Rin, Shun Yanashima
The purpose of this paper is to introduce the construction of a stochastic process called "-dimensional Bessel house-moving" and its properties. We study the weak convergence of…
Construction and sample path properties of Brownian house-moving between two curves
Kensuke Ishitani, Daisuke Hatakenaka, Keisuke Suzuki
This study aims to construct a stochastic process called "Brownian house-moving," which is a Brownian bridge conditioned to stay between two curves. To construct this process, stat…