Improving the Monte Carlo estimation of boundary crossing probabilities by control variables (Q4900337)
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scientific article; zbMATH DE number 6128725
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| English | Improving the Monte Carlo estimation of boundary crossing probabilities by control variables |
scientific article; zbMATH DE number 6128725 |
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Improving the Monte Carlo estimation of boundary crossing probabilities by control variables (English)
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24 January 2013
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boundary crossing probability
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first passage time
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first hitting time
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diffusion process
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Brownian motion
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adaptive control variable
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iterated adaptive control variable
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numerical example
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0.7665368914604187
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0.7647467851638794
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0.7616360187530518
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0.7605401277542114
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0.7520278096199036
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