Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes

DOI10.1137/S1064827502417982MaRDI QIDQ5318326zbMATH OpenFDO

Authors Amir F. Atiya, S. A. Metwally

Publication date 22 September 2005

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

Full work available at URL https://doi.org/10.1137/S1064827502417982

zbMATH Keywords

Brownian bridgeBrownian motionfirst passage timeinverse Gaussian densityjump-diffusionMonte Carlo simulationPoisson process

Mathematics Subject Classification ID

Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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Cited in

(12)

• The high order dispersion analysis based on first-passage-time probability in financial markets
• An improved algorithm for the estimation of the mean first passage time of ordinary stochastic differential equations
• Comparison of jump-diffusion parameters using passage times estimation
• First-passage-time distribution for variable-diffusion processes
• The first passage time density of Ornstein-Uhlenbeck process with continuous and impulsive excitations
• Hedging barrier options in GARCH models with transaction costs
• First passage time for multivariate jump-diffusion processes in finance and other areas of applications
• PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
• A stochastic model for commodity pairs trading
• Characterizations of random walks on random lattices and their ramifications
• First-passage time for PDifMPs: an asymptotically exact simulation approach for time-varying thresholds
• Fast and accurate calculations for first-passage times in Wiener diffusion models

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