Topic: Simulation of Stochastic Processes

Simulating Brownian Maxima Beyond the Time Grid

Refining Brownian Paths with Brownian Bridges

Monte Carlo Error Bars for Markov Chain Summaries

Homogeneous Poisson Processes from Exponential Waiting Times

Diagnosing Brownian Simulations with Scaling and Covariance

Conditional Poisson Arrival Times by Sorting Uniform Samples

Checking Markov Chain Simulations Against Exact Probabilities

Brownian Motion on a Time Grid from Gaussian Increments