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Journal of Scientific Computing
Erschienen in: Journal of Scientific Computing 3/2019

03.01.2019

Exact Simulation of the First-Passage Time of Diffusions

verfasst von: S. Herrmann, C. Zucca

Erschienen in: Journal of Scientific Computing | Ausgabe 3/2019

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Abstract

Since diffusion processes arise in so many different fields, efficient technics for the simulation of sample paths, like discretization schemes, represent crucial tools in applied probability. Such methods permit to obtain approximations of the first-passage times as a by-product. For efficiency reasons, it is particularly challenging to simulate directly this hitting time by avoiding to construct the whole paths. In the Brownian case, the distribution of the first-passage time is explicitly known and can be easily used for simulation purposes. The authors introduce a new rejection sampling algorithm which permits to perform an exact simulation of the first-passage time for general one-dimensional diffusion processes. The efficiency of the method, which is essentially based on Girsanov’s transformation, is described through theoretical results and numerical examples.
Vorheriger Artikel Corner Cases, Singularities, and Dynamic Factoring
Nächster Artikel A High Order HDG Method for Stokes Flow in Curved Domains

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Metadaten
Titel
Exact Simulation of the First-Passage Time of Diffusions
verfasst von
S. Herrmann
C. Zucca
Publikationsdatum
03.01.2019
Verlag
Springer US
Erschienen in
Journal of Scientific Computing / Ausgabe 3/2019
Print ISSN: 0885-7474
Elektronische ISSN: 1573-7691
DOI
https://doi.org/10.1007/s10915-018-00900-3

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