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A note on the exact simulation of spherical Brownian motion
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Mijatović, Aleksandar, Mramor, Veno and Uribe Bravo, Gerónimo (2020) A note on the exact simulation of spherical Brownian motion. Statistics and Probability Letters, 165 . 108836. doi:10.1016/j.spl.2020.108836
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Official URL: https://doi.org/10.1016/j.spl.2020.108836
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 & Spanò (2017). The rapid spinning phenomenon of the skew-product decomposition then yields the algorithm for the increments of the process on the sphere.
| Item Type: | Journal Article | ||||||||||||||||||
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| Subjects: | Q Science > QA Mathematics | ||||||||||||||||||
| Divisions: | Faculty of Science > Statistics | ||||||||||||||||||
| Library of Congress Subject Headings (LCSH): | Brownian motion processes, Random walks (Mathematics), Diffusion processes | ||||||||||||||||||
| Journal or Publication Title: | Statistics and Probability Letters | ||||||||||||||||||
| Publisher: | Elsevier | ||||||||||||||||||
| Official Date: | October 2020 | ||||||||||||||||||
| Dates: |
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| Date of first compliant deposit: | 18 June 2020 | ||||||||||||||||||
| Volume: | 165 | ||||||||||||||||||
| Article Number: | 108836 | ||||||||||||||||||
| DOI: | 10.1016/j.spl.2020.108836 | ||||||||||||||||||
| Status: | Peer Reviewed | ||||||||||||||||||
| Publication Status: | Published | ||||||||||||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||||||||||||
| Funder: | Engineering and Physical Sciences Research Council, Lloyd’s Register Foundation, CoNaCyT, UNAM-DGAPA-PAPIIT | ||||||||||||||||||
| RIOXX Funder/Project Grant: |
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