An improved technique for the simulation of first passage times for diffusion processes
作者: Maria Teresa GiraudoLaura Sacerdote
作者单位: 1Dept. of mathematics, Torino University, Torino, Italy
刊名: Communications in Statistics - Simulation and Computation, 1999, Vol.28 (4), pp.1135-1163
来源数据库: Taylor & Francis Journal
DOI: 10.1080/03610919908813596
关键词: tied-down processesexit timetime dependent boundariesFeller processOrnstein-Uhlenbeck process
原始语种摘要: 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.
全文获取路径: Taylor & Francis  (合作)