Sampling Brownian increments with bounded Levy areas

Harald Oberhauser
University of Oxford

For many applications in stochastic analysis one needs to efficiently simulate Brownian increments. I will revisit the Skorokhod embedding problem to describe a new algorithm and then show how it can be extended to Brownian motion enhanced with its Levy area. One attractive feature of this new algorithm is that it allows to uniformly bound path and area increments.

Joint work with P. Gassiat, A. Mijatovic, O. Reichmann


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