关于球面布朗运动精确模拟的注记
概率论
2020-10-30 v2
摘要
我们描述了一种任意维球面上布朗运动增量的精确模拟算法，该算法基于过程相对于标准测地距离的偏积分解。径向过程与Wright-Fisher扩散密切相关，其后者的增量可利用Jenkins & Spanò (2017) [JS17]的近期工作进行精确模拟。偏乘积分解的快速旋转现象进而给出了球面上过程增量的算法。
引用
@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}
}
备注
8 pages. Added a paragraph about classical skew-product decomposition and its (un)usability for simulation of spherical Brownian motion