Improved simulation schemes for the evaluation of rst passage times through boundaries for one dimensional di¤usion processes can be obtained taking into account possible crossings that occur inside each simulation inter- val. Approximated evaluations for the probabilities of such events are proposed and the error connected with their use in a simulation algorithm is discussed. Two examples are nally given to illustrate the features of the method.

An improved technique for the simulation of first passage times for diffusion processes

GIRAUDO M. T.;SACERDOTE, Laura Lea
1999

Abstract

Improved simulation schemes for the evaluation of rst passage times through boundaries for one dimensional di¤usion processes can be obtained taking into account possible crossings that occur inside each simulation inter- val. Approximated evaluations for the probabilities of such events are proposed and the error connected with their use in a simulation algorithm is discussed. Two examples are nally given to illustrate the features of the method.
28 n.4
1135
1163
First Passage TIme; Diffusion Process; Brownian Bridge; Simulation
GIRAUDO M.T.; L. SACERDOTE
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2318/107250
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