The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach

DOI10.1137/151006172zbMath1334.60062arXiv1501.07060OpenAlexW2123167211WikidataQ60920715 ScholiaQ60920715MaRDI QIDQ3464423

Samuel Herrmann, Etienne Tanré

Publication date: 27 January 2016

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.07060

zbMATH Keywords

potential theoryBrownian motionrandomized algorithmfirst-passage time

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (7)

With or without replacement? Sampling uncertainty in Shepp’s urn scheme ⋮ The inverse first-passage time problem as hydrodynamic limit of a particle system ⋮ First hitting time distributions for Brownian motion and regions with piecewise linear boundaries ⋮ Vanishing corrections for the position in a linear model of FKPP fronts ⋮ Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary ⋮ Exact simulation of the first-passage time of diffusions ⋮ Existence and regularity of law density of a pair (diffusion, first component running maximum)

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