Exact simulation of diffusions
Alexandros Beskos, Gareth O. Roberts · The Annals of Applied Probability · 2005
We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applicable, returns the location of the path at a random collection of time instances. The path can then be completed without further reference to the dynamics of the target process.