In this paper, we show how to exactly sample from the distribution of the maximum of a random walk with negative drift. We also explore related variance reduction methods.

IMPORTANCE RESAMPLING FOR GLOBAL ILLUMINATION Justin F. Talbot Department of Computer Science Master of Science This thesis develops a generalized form of Monte Carlo integration called Resampled Importance Sampling. It is based on the importance resampling sample generation technique. Resampled Importance Sampling can lead to significant variance reduction over standard Monte Carlo integration...