Journal
ANNALS OF APPLIED PROBABILITY
Volume 15, Issue 4, Pages 2422-2444Publisher
INST MATHEMATICAL STATISTICS
DOI: 10.1214/105051605000000485
Keywords
exact simulation; rejection sampling; Girsanov theorem; boundary hitting time
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We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applicable, returns the location of the path at a random collection of time instances. The path can then be completed without further reference to the dynamics of the target process.
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