Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation

DOI10.1239/JAP/1316796908MaRDI QIDQ3094686zbMATH OpenOpenAlexFDO

Authors Tomoyuki Ichiba, Constantinos Kardaras

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

zbMATH Keywords

convergencefirst passage timerate functionone-dimensional diffusionMonte Carlo density estimationthree-dimensional Brownian bridge

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Brownian motion (60J65) Martingales with continuous parameter (60G44)

Abstract: We propose a method for estimating first passage time densities of one-dimensional diffusions via Monte Carlo simulation. Our approach involves a representation of the first passage time density as expectation of a functional of the three-dimensional Brownian bridge. As the latter process can be simulated exactly, our method leads to almost unbiased estimators. Furthermore, since the density is estimated directly, a convergence of order $1/sqrtN$, where $N$ is the sample size, is achieved, the last being in sharp contrast to the slower non-parametric rates achieved by kernel smoothing of cumulative distribution functions.

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Cited in

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• Explicit asymptotics on first passage times of diffusion processes
• Estimation methods for passage times using one-dependent cycles
• The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach
• Numerical determination of hitting time distributions from their Laplace transforms: simple cases
• Fast and accurate calculations for first-passage times in Wiener diffusion models
• A Monte Carlo method for the simulation of first passage times of diffusion processes
• Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes
• Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes

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