Beta approximations for bridge sampling

Authors:
Paul Glasserman;Kyoung-Kuk Kim
Affiliations:
Columbia University, New York, NY;Columbia University, New York, NY
Venue:
Proceedings of the 40th Conference on Winter Simulation
Year:
2008

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Abstract

We consider the problem of simulating X conditional on the value of X + Y, when X and Y are independent positive random variables. We propose approximate methods for sampling (X|X + Y) by approximating the fraction (X/z|X + Y = z) with a beta random variable. We discuss applications to Lévy processes and infinitely divisible distributions, and we report numerical tests for Poisson processes, tempered stable processes, and the Heston stochastic volatility model.