Exact simulation of the first passage time through a given level of jump diffusions (Q2079352)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Exact simulation of the first passage time through a given level of jump diffusions |
scientific article; zbMATH DE number 7594647
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Exact simulation of the first passage time through a given level of jump diffusions |
scientific article; zbMATH DE number 7594647 |
Statements
Exact simulation of the first passage time through a given level of jump diffusions (English)
0 references
29 September 2022
0 references
first passage time
0 references
jump diffusion
0 references
Girsanov formula
0 references
rejection sampling
0 references
Bessel process
0 references
stochastic algorithm
0 references
0 references
0 references
0 references
0 references
