2 papers
stat.CO2026
Exact Simulation of Diffusions via Brownian Bridge Range Reconstruction
Radu Herbei, Kumar Somnath
We develop an exact simulation algorithm for scalar diffusion paths and diffusion bridges when the Poisson potential is unbounded in both tails. The method reconstructs the realize…
math.PR2026
Interval-Constrained Brownian Paths: Exact Interpolation and Extrapolation
Radu Herbei, Kumar Somnath
We study Brownian motion and Brownian bridge processes conditioned to remain in a fixed interval , focusing on the conditional distribution at a single time. For a Brownian…