Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation

DOI10.1239/jap/1316796908zbMath1230.65003arXiv1008.1326OpenAlexW2113382038MaRDI QIDQ3094686

Constantinos Kardaras, Tomoyuki Ichiba

Publication date: 25 October 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.1326

zbMATH Keywords

convergencerate functionfirst passage timeone-dimensional diffusionMonte Carlo density estimationthree-dimensional Brownian bridge

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Brownian motion (60J65) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

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