{"paper":{"title":"Exact simulation of the sample paths of a diffusion with a finite entrance boundary","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.PR","stat.CO"],"primary_cat":"stat.ME","authors_text":"Paul A. Jenkins","submitted_at":"2013-11-22T15:16:15Z","abstract_excerpt":"Diffusion processes arise in many fields, and so simulating the path of a diffusion is an important problem. It is usually necessary to make some sort of approximation via model-discretization, but a recently introduced class of algorithms, known as the exact algorithm and based on retrospective rejection sampling ideas, obviate the need for such discretization. In this paper I extend the exact algorithm to apply to a class of diffusions with a finite entrance boundary. The key innovation is that for these models the Bessel process is a more suitable candidate process than the more usually cho"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1311.5777","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}