Exact simulation of the first passage time through a given level of jump diffusions

DOI10.1016/j.matcom.2022.07.007OpenAlexW3173033224MaRDI QIDQ2079352

Samuel Herrmann, Nicolas Massin

Publication date: 29 September 2022

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.05560

zbMATH Keywords

Bessel processGirsanov formulafirst passage timestochastic algorithmrejection samplingjump diffusion

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Statistical mechanics, structure of matter (82-XX)

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