Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation (Q3094686)
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scientific article; zbMATH DE number 5963935
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| English | Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation |
scientific article; zbMATH DE number 5963935 |
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Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation (English)
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25 October 2011
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first passage time
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Monte Carlo density estimation
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one-dimensional diffusion
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three-dimensional Brownian bridge
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rate function
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convergence
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0.9376111
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0.92389256
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0.90818083
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0.90033114
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0.89996713
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0.8963184
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