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

DOI10.1051/M2AN/2019077MaRDI QIDQ5108959zbMATH OpenOpenAlexFDO

Authors Samuel Herrmann, Cristina Zucca

Publication date 7 May 2020

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

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

Brownian motionconditioned Brownian motiondiffusion processesexact simulationexit timeGirsanov's transformationrandomized algorithmrejection sampling

Mathematics Subject Classification ID

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

Cites work

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Cited in

(9)

• Exact simulation of the first passage time through a given level of jump diffusions
• Approximating the first passage time density from data using generalized Laguerre polynomials
• Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation
• Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process
• 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
• Efficient inference in first passage time models
• Exact simulation of the first-passage time of diffusions to time-dependent thresholds
• On time-dependent boundary crossing probabilities of diffusion processes as differentiable functionals of the boundary

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Uses Software

• exitbm

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