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

被引：32

作者：

Giraudo, MT ^{[1
]}

Sacerdote, L ^{[1
]}

机构：

[1] Univ Turin, Dept Math, I-10123 Turin, Italy

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 1999年 / 28卷 / 04期

关键词：

tied-down processes; exit time; time dependent boundaries; Feller process; Ornstein-Uhlenbeck process;

D O I：

10.1080/03610919908813596

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

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.

引用

页码：1135 / 1163

页数：29

共 26 条

[1]

Arnold L., 1974, STOCHASTIC DIFFERENT, DOI DOI 10.1002/ZAMM.19770570413

[2] Exact asymptotics for the probability of exit from a domain and applications to simulation [J].