Controlling the time discretization bias for the supremum of Brownian motion

DOI10.1145/3177775zbMATH Open1542.65009MaRDI QIDQ6583735

M. R. H. Mandjes, Daan Crommelin, Krzysztof Bisewski

Publication date: 6 August 2024

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

zbMATH Keywords

Brownian motionhitting timediscretization errorrare-event simulationoptimal discretizationcontinuity correction

Mathematics Subject Classification ID

Brownian motion (60J65) Numerical solutions to stochastic differential and integral equations (65C30)

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