Exact simulation of the first-passage time of diffusions

DOI10.1007/s10915-018-00900-3zbMath1416.65043arXiv1705.06881OpenAlexW2618146068WikidataQ128644272 ScholiaQ128644272MaRDI QIDQ2316185

Samuel Herrmann, Cristina Zucca

Publication date: 26 July 2019

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.06881

zbMATH Keywords

Brownian motionrandomized algorithmdiffusion processesexact simulationfirst-passage timeGirsanov's transformation

Mathematics Subject Classification ID

Related Items (9)

On the exit time from open sets of some semi-Markov processes ⋮ Exit problem for Ornstein-Uhlenbeck processes: a random walk approach ⋮ Exact simulation of first exit times for one-dimensional diffusion processes ⋮ On Markov chain approximations for computing boundary crossing probabilities of diffusion processes ⋮ The inverse first-passage time problem as hydrodynamic limit of a particle system ⋮ Integration by parts formula for killed processes: a point of view from approximation theory ⋮ Existence and regularity of law density of a pair (diffusion, first component running maximum) ⋮ Exact simulation of the first passage time through a given level of jump diffusions ⋮ Approximating exit times of continuous Markov processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Fast and accurate calculations for first-passage times in Wiener diffusion models
• Mathematical methods for financial markets.
• First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes
• A factorisation of diffusion measure and finite sample path constructions
• Some probabilistic properties of Bessel functions
• The law of the maximum of a Bessel bridge
• Level crossing problems and drift reliability
• A Monte Carlo method for the simulation of first passage times of diffusion processes
• Lookback options and diffusion hitting times: a spectral expansion approach
• Asymptotics of hitting probabilities for general one-dimensional pinned diffusions
• Weak approximation of killed diffusion using Euler schemes.
• The hitting time density for a reflected Brownian motion
• A first passage problem for a bivariate diffusion process: Numerical solution with an application to neuroscience when the process is Gauss-Markov
• Stopped diffusion processes: boundary corrections and overshoot
• A review of the integrate-and-fire neuron model: I. Homogeneous synaptic input
• Exact simulation of diffusions
• Crossing probabilities for diffusion processes with piecewise continuous boundaries
• Retrospective exact simulation of diffusion sample paths with applications
• A Continuity Correction for Discrete Barrier Options
• Boundary crossing probability for Brownian motion
• A Guide to First-Passage Processes
• Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation
• On an integral equation for first-passage-time probability densities
• The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach
• The first-passage density of a continuous gaussian process to a general boundary
• A new integral equation for the evaluation of first-passage-time probability densities
• On the evaluation of first-passage-time probability densities via non-singular integral equations
• An asymptotic expansion for one-sided Brownian exit densities
• The first-passage density of the Brownian motion process to a curved boundary
• Path Decomposition and Continuity of Local Time for One-Dimensional Diffusions, I
• Boundary crossing probability for Brownian motion and general boundaries
• An improved technique for the simulation of first passage times for diffusion processes
• Stochastic Integrate and Fire Models: A Review on Mathematical Methods and Their Applications
• On evaluations and asymptotic approximations of first-passage-time probabilities

This page was built for publication: Exact simulation of the first-passage time of diffusions