A note on the exact simulation of spherical Brownian motion

Abstract

We describe an exact simulation algorithm for the increments of Brownian motion on a sphere of arbitrary dimension, based on the skew-product decomposition of the process with respect to the standard geodesic distance. The radial process is closely related to a Wright-Fisher diffusion, increments of which can be simulated exactly using the recent work of Jenkins & Span\`{o} (2017) [JS17]. The rapid spinning phenomenon of the skew-product decomposition then yields the algorithm for the increments of the process on the sphere.