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

DOI10.1515/MCMA-2012-0013MaRDI QIDQ4900337zbMATHOpenAlexFDO

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

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)

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Cited in

(5)

• On the empirical estimator of the boundary in inverse first-exit problems
• 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
• Bounds and approximations for distributions of weighted Kolmogorov-Smirnov tests
• Sensitivity of boundary crossing probabilities of the Brownian motion

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