Gassiat, Paul et al., An integral equation for Root.s barrier and the generation of Brownian increments, Annals of applied probability , 25(4), 2015, pp. 2039-2065
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.