BibTeX
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Joint exact simulation of the maximum and its location for some constrained Brownian processes
K Somnath, R Herbei - Journal of Statistical Computation and …, 2026 - Taylor & Francis
… The algorithms provide a practical and rigorous foundation for exact sampling of path extrema and are directly applicable to simulation-based inference, rare event analysis…
Link to paper
… The algorithms provide a practical and rigorous foundation for exact sampling of path extrema and are directly applicable to simulation-based inference, rare event analysis…