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Adding interior points to an existing Brownian sheet lattice

We compute the conditional distribution of new interior points of a given a lattice representing a path of a Brownian sheet process in discrete time. This is done so that we can simulate paths of this multi-parameter Gaussian process by refining previously simulated paths, which allows one to refine a particular area of the path that is of interest.
Year of publication:
2004
Authors: Toth, Daniell
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 66.2004, 3, p. 221-227
Publisher: Elsevier
Subject: Brownian sheet Simulation Conditional distribution
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005319557
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