Simulation of Brownian motion at first-passage times
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Publication:2479441
DOI10.1016/J.MATCOM.2007.01.038zbMATH Open1135.60329OpenAlexW1966027515MaRDI QIDQ2479441FDOQ2479441
Authors: Z. Burq, Owen D. Jones 
Publication date: 26 March 2008
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2007.01.038
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Cites Work
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- Density approximation and exact simulation of random variables that are solutions of fixed-point equations
- Subordinated market index models: A comparison
- On constant tail behaviour for the limiting random variable in a supercritical branching process
Cited In (19)
- Exact simulation for the first hitting time of Brownian motion and Brownian bridge
- On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions
- Discrete-type approximations for non-Markovian optimal stopping problems. II
- A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
- Weak approximations for Wiener functionals
- An efficient algorithm to simulate a Brownian motion over irregular domains
- Piecewise deterministic Markov processes for continuous-time Monte Carlo
- A weak version of path-dependent functional Itô calculus
- Discretizing Malliavin calculus
- Testing for continuous local martingales using the crossing tree
- Path collapse for multidimensional Brownian motion with rebirth
- A theoretical note on the simulation of Brownian motion
- Hitting time of Brownian motion subject to shear flow
- On exact simulation algorithms for some distributions related to Jacobi theta functions
- \(L^p\) uniform random walk-type approximation for fractional Brownian motion with Hurst exponent \(0 < H < \frac{1}{2} \)
- Simulation of first-passage times for alternating Brownian motions
- Further properties of random orthogonal matrix simulation
- Crossings states and sets of states in random walks
- Discrete-type approximations for non-Markovian optimal stopping problems. I
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