EXACT SIMULATION OF MULTIDIMENSIONAL REFLECTED BROWNIAN MOTION

作     者：Blanchet, Jose Murthy, Karthyek 

作者机构：Columbia Univ Dept Ind Engn & Operat Res SW Mudd Bldg500 W 120 St New York NY 10027 USA Stanford Univ Management Sci & Engn 475 Via Ortega Stanford CA 94305 USA 

出 版 物：《JOURNAL OF APPLIED PROBABILITY》 (J. Appl. Probab.)

年 卷 期：2018年第55卷第1期

页      面：137-156页

核心收录：

学科分类：07[理学] 070104[理学-应用数学] 0714[理学-统计学（可授理学、经济学学位）] 0701[理学-数学] 

基　　金：National Science Foundation Div Of Civil, Mechanical, & Manufact Inn Directorate For Engineering Funding Source: National Science Foundation 

主　　题：Unbiased sampling refine until accept/reject tolerance enforced simulation acceptance-rejection sampling epsilon-strong simulation iterative algorithm intersection layer 

摘      要：We present the first exact simulation method for multidimensional reflected Brownian motion (RBM). Exact simulation in this setting is challenging because of the presence of correlated local-time-like terms in the definition of RBM. We apply recently developed so-called epsilon-strong simulation techniques (also known as tolerance-enforced simulation) which allowus to provide a piecewise linear approximation toRBMwith epsilon (deterministic) error in uniform norm. A novel conditional acceptance-rejection step is then used to eliminate the error. In particular, we condition on a suitably designed information structure so that a feasible proposal distribution can be applied.