How to sample a 2-dim. r.v. with known density function?
- To: mathgroup at smc.vnet.net
- Subject: [mg65247] How to sample a 2-dim. r.v. with known density function?
- From: "KvS" <keesvanschaik at gmail.com>
- Date: Wed, 22 Mar 2006 06:13:37 -0500 (EST)
- Sender: owner-wri-mathgroup at wolfram.com
Hi all, I guess the title explains it already, I have a 2-dim. density function (the joint density of a geometric Brownian motion with drift and its running maximum to be more precise, explicit formula can e.g. be found here: www.maths.ox.ac.uk/~hambly/PDF/O10/lecture15.pdf) and now I would like to generate random pairs according to this density. I'm not even sure whether a general method for doing this exists, is anybody familiar with a method that I can either implement myself in Mathematica or built-in stuff that can be used to do this? Lots of thanks in advance, - Kees