First passage time for Brownian motion and piecewise linear boundaries

DOI10.1007/s11009-015-9475-2zbMath1360.60155OpenAlexW2193187935MaRDI QIDQ518868

Zhiyong Jin, Liqun Wang

Publication date: 30 March 2017

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-015-9475-2

zbMATH Keywords

Brownian motionfirst passage timeMonte Carlo integrationfirst hitting timecurved boundaryboundary crossing density

Mathematics Subject Classification ID

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

Related Items (2)

First hitting time distributions for Brownian motion and regions with piecewise linear boundaries ⋮ Exact simulation for the first hitting time of Brownian motion and Brownian bridge

Cites Work

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