A note on the exact simulation of spherical Brownian motion
Probability
2020-10-30 v2
Abstract
We describe an exact simulation algorithm for the increments of Brownian motion on a sphere of arbitrary dimension, based on the skew-product decomposition of the process with respect to the standard geodesic distance. The radial process is closely related to a Wright-Fisher diffusion, increments of which can be simulated exactly using the recent work of Jenkins & Span\`{o} (2017) [JS17]. The rapid spinning phenomenon of the skew-product decomposition then yields the algorithm for the increments of the process on the sphere.
Keywords
Cite
@article{arxiv.1811.12107,
title = {A note on the exact simulation of spherical Brownian motion},
author = {Aleksandar Mijatović and Veno Mramor and Gerónimo Uribe Bravo},
journal= {arXiv preprint arXiv:1811.12107},
year = {2020}
}
Comments
8 pages. Added a paragraph about classical skew-product decomposition and its (un)usability for simulation of spherical Brownian motion