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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

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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
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Science, Engineering and Medicine > 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:
DateEvent
October 2020Published
15 June 2020Available
3 June 2020Accepted
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:
Project/Grant IDRIOXX Funder NameFunder ID
EP/N510129/1[EPSRC] Engineering and Physical Sciences Research Councilhttp://dx.doi.org/10.13039/501100000266
EP/P003818/1[EPSRC] Engineering and Physical Sciences Research Councilhttp://dx.doi.org/10.13039/501100000266
UNSPECIFIEDLloyd’s Register FoundationUNSPECIFIED
FC-2016-1946Consejo Nacional de Ciencia y Tecnologíahttp://viaf.org/viaf/147206461
IN115217PAPIIT (Organizationhttp://viaf.org/viaf/144462803

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