Exact simulation of the first passage time through a given level of jump diffusions

DOI10.1016/J.MATCOM.2022.07.007MaRDI QIDQ2079352zbMATH OpenOpenAlexFDO

Authors Samuel Herrmann, Nicolas Massin

Publication date 29 September 2022

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2106.05560

zbMATH Keywords

jump diffusionfirst passage timerejection samplingstochastic algorithmBessel processGirsanov formula

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Statistical mechanics, structure of matter (82-XX)

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Cited in

(3)

• Exact simulation of the first passage time through a given level for jump diffusions
• Exact Simulation of Brownian Diffusions with Drift Admitting Jumps
• Comparison of jump-diffusion parameters using passage times estimation

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