Improving the Monte Carlo estimation of boundary crossing probabilities by control variables

DOI10.1515/MCMA-2012-0013zbMATH Open1260.65009OpenAlexW2007447889MaRDI QIDQ4900337FDOQ4900337

Authors: Klaus Pötzelberger 

Publication date: 24 January 2013

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2012-0013

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zbMATH Keywords

Brownian motiondiffusion processfirst hitting timefirst passage timenumerical exampleboundary crossing probabilityadaptive control variableiterated adaptive control variable

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (5)

• Sharp estimates for the hitting probability on time-dependent barriers for a Brownian Motion. Weak approximation of a Brownian motion killed on time-dependent barriers
• Controlling the time discretization bias for the supremum of Brownian motion
• On the empirical estimator of the boundary in inverse first-exit problems
• Sensitivity of boundary crossing probabilities of the Brownian motion
• Bounds and approximations for distributions of weighted Kolmogorov-Smirnov tests

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