Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation
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Publication:3094686
DOI10.1239/jap/1316796908zbMath1230.65003arXiv1008.1326MaRDI QIDQ3094686
Constantinos Kardaras, Tomoyuki Ichiba
Publication date: 25 October 2011
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1008.1326
convergence; rate function; first passage time; one-dimensional diffusion; Monte Carlo density estimation; three-dimensional Brownian bridge
65C05: Monte Carlo methods
60J65: Brownian motion
60G44: Martingales with continuous parameter
60J60: Diffusion processes
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