Paper  doi  abstract   bibtex   

@article{MIJATOVIC2020108836,
	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 & Span{\`o} (2017). The rapid spinning phenomenon of the skew-product decomposition then yields the algorithm for the increments of the process on the sphere.},
	Author = {Aleksandar Mijatovi{\'c} and Veno Mramor and Ger{\'o}nimo {Uribe Bravo}},
	Date-Added = {2020-11-06 08:58:06 -0600},
	Date-Modified = {2020-11-06 08:58:06 -0600},
	Doi = {https://doi.org/10.1016/j.spl.2020.108836},
	Issn = {0167-7152},
	Journal = {Statistics & Probability Letters},
	Keywords = {Exact simulation, Skew-product decomposition, Spherical Brownian motion, Wright--Fisher diffusion},
	Pages = {108836},
	Title = {A note on the exact simulation of spherical Brownian motion},
	Url = {http://www.sciencedirect.com/science/article/pii/S0167715220301395},
	Volume = {165},
	Year = {2020},
	Bdsk-Url-1 = {http://www.sciencedirect.com/science/article/pii/S0167715220301395},
	Bdsk-Url-2 = {https://doi.org/10.1016/j.spl.2020.108836}}