Exact simulation of first exit times for one-dimensional diffusion processes (Q5108959)
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scientific article; zbMATH DE number 7197800
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| English | Exact simulation of first exit times for one-dimensional diffusion processes |
scientific article; zbMATH DE number 7197800 |
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Exact simulation of first exit times for one-dimensional diffusion processes (English)
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7 May 2020
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exit time
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Brownian motion
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diffusion processes
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Girsanov's transformation
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rejection sampling
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exact simulation
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randomized algorithm
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conditioned Brownian motion
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