Simulation of Brownian motion at first-passage times

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 Z for some > 0. Central to our method is an algorithm for the perfect simulation of , the first time

• Type: Journal
• Year: 2008
• Where: MCS
• Authors: Zaeem A. Burq, Owen D. Jones
• Keywords: Brownian Motion, MCS 2008, Pattern Recognition, Regular Spatial Grid, Regular Time