Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes (Q5318326)
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scientific article; zbMATH DE number 2207127
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| English | Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes |
scientific article; zbMATH DE number 2207127 |
Statements
Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes (English)
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22 September 2005
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Monte Carlo simulation
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Brownian motion
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Brownian bridge
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jump-diffusion
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first passage time
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Poisson process
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inverse Gaussian density
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0.792168915271759
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0.7815284132957458
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0.7570453882217407
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0.7567942142486572
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0.7449029088020325
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