Improving the Monte Carlo estimation of boundary crossing probabilities by control variables

DOI10.1515/MCMA-2012-0013zbMath1260.65009OpenAlexW2007447889MaRDI QIDQ4900337

Klaus Pötzelberger

Publication date: 24 January 2013

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2012-0013

zbMATH Keywords

numerical exampleBrownian motiondiffusion processfirst passage timefirst hitting timeboundary crossing probabilityadaptive control variableiterated adaptive control variable

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (3)

On the empirical estimator of the boundary in inverse first-exit problems ⋮ Sensitivity of boundary crossing probabilities of the Brownian motion ⋮ Bounds and Approximations for Distributions of Weighted Kolmogorov-Smirnov Tests

This page was built for publication: Improving the Monte Carlo estimation of boundary crossing probabilities by control variables