Blanchet J, Murthy K. Exact simulation of multidimensional reflected Brownian motion. Journal of Applied Probability. 2018;55(1):137-156. doi:10.1017/jpr.2018.10
Abstract
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 ε-strong simulation techniques (also known as tolerance-enforced simulation) which allow us to provide a piecewise linear approximation to RBM with ε (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.
Authors
Jose Blanchet, Karthyek Murthy
Publication date
2018/3
Journal
Journal of Applied Probability
Volume
55
Issue
1
Pages
137-156
Publisher
Cambridge University Press
