Exact simulation for the first hitting time of Brownian motion and Brownian bridge

DOI10.1016/j.spl.2022.109654zbMath1499.60277OpenAlexW4294770643MaRDI QIDQ2105352

Tae-Ho Lee

Publication date: 8 December 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2022.109654

zbMATH Keywords

Brownian motionBrownian bridgefirst hitting timeexact simulation

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60)

Cites Work

• Unnamed Item
• First passage time for Brownian motion and piecewise linear boundaries
• First hitting time distributions for Brownian motion and regions with piecewise linear boundaries
• Some conditional crossing results of Brownian motion over a piecewise-linear boundary
• Simulation of Brownian motion at first-passage times
• Exact simulation of diffusions
• Crossing probabilities for diffusion processes with piecewise continuous boundaries
• Stochastic simulation: Algorithms and analysis
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• Approximations of boundary crossing probabilities for a Brownian motion
• Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations
• Exact Monte Carlo simulation of killed diffusions
• Table for Estimating the Goodness of Fit of Empirical Distributions

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