Stefano Peluchetti

  1. $\epsilon$-Strong Simulation of the Brownian Path.

    Authors: Gareth Roberts, Alexandros Beskos, Stefano Peluchetti
    Subjects: Computation
    Abstract

    We present an iterative sampling method which delivers upper and lower
    bounding processes for the Brownian path. We develop such processes with
    particular emphasis on being able to unbiasedly simulate them on a personal
    computer. The dominating processes converge almost surely in the supremum and
    $L_1$ norms.

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