{"paper":{"title":"Exact Simulation of Multidimensional Reflected Brownian Motion","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["stat.CO"],"primary_cat":"math.PR","authors_text":"Jose Blanchet, Karthyek R. A. Murthy","submitted_at":"2014-05-26T06:17:36Z","abstract_excerpt":"We present the first exact simulation method for multidimensional reflected Brownian motion (RBM). Exact simulation in this setting is challenging because of the presence of correlated local-time-like terms in the definition of RBM. We apply recently developed so-called $\\varepsilon-$strong simulation techniques (also known as Tolerance-Enforced Simulation) which allow us to provide a piece-wise linear approximation to RBM with $\\varepsilon $ (deterministic) error in uniform norm. A novel conditional acceptance/rejection step is then used to eliminate the error. In particular, we condition on "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1405.6469","kind":"arxiv","version":3},"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"}