Burq, Zaeem A.; Jones, Owen D. - In: Mathematics and Computers in Simulation (MATCOM) 77 (2008) 1, pp. 64-71
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 δZ for some δ0. Central to our method is an algorithm for the exact simulation of τ, the first time Brownian motion hits ±1. This work is motivated by...