%0 Journal Article
%T An integral equation for Root's barrier and the generation of Brownian increments
%A Paul Gassiat
%A Aleksandar Mijatovi£¿
%A Harald Oberhauser
%J Mathematics
%D 2013
%I arXiv
%R 10.1214/14-AAP1042
%X We derive a nonlinear integral equation to calculate Root's solution of the Skorokhod embedding problem for atom-free target measures. We then use this to efficiently generate bounded time-space increments of Brownian motion and give a parabolic version of Muller's classic "Random walk over spheres" algorithm.
%U http://arxiv.org/abs/1309.5877v2