An integral equation for Root's barrier and the generation of Brownian increments
/ Authors
/ 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.
Journal: arXiv: Probability
DOI: 10.1214/14-AAP1042