Improved simulation schemes for the evaluation of first passage times through boundaries for one dimensional diffusion processes can be obtained taking into account possible crossings that occur inside each simulation interval. 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 finally given to illustrate the features of the method.

An improved technique for the simulation of first passage times for diffusion processes / M. GIRAUDO; SACERDOTE L.. - In: COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION. - ISSN 0361-0918. - 28 (4)(1999), pp. 1135-1163.

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

GIRAUDO, Maria Teresa;SACERDOTE, Laura Lea
1999

Abstract

Improved simulation schemes for the evaluation of first passage times through boundaries for one dimensional diffusion processes can be obtained taking into account possible crossings that occur inside each simulation interval. 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 finally given to illustrate the features of the method.
28 (4)
1135
1163
tied-down processes; exit time; Feller process; Ornstein-Uhlenbeck process
M. GIRAUDO; SACERDOTE L.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2318/6183
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