Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes
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Publication:5318326
DOI10.1137/S1064827502417982zbMath1070.62065MaRDI QIDQ5318326
Publication date: 22 September 2005
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Brownian motionBrownian bridgeMonte Carlo simulationPoisson processfirst passage timejump-diffusioninverse Gaussian density
Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)
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