Exact simulation of first exit times for one-dimensional diffusion processes

DOI10.1051/m2an/2019077OpenAlexW2986214799MaRDI QIDQ5108959

Samuel Herrmann, Cristina Zucca

Publication date: 7 May 2020

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.04883

zbMATH Keywords

Brownian motionrandomized algorithmdiffusion processesexit timerejection samplingexact simulationGirsanov's transformationconditioned Brownian motion

Mathematics Subject Classification ID

Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (4)

Approximating the first passage time density from data using generalized Laguerre polynomials ⋮ 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 ⋮ Exact simulation of the first passage time through a given level of jump diffusions

Uses Software

• exitbm

Cites Work

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