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A Monte Carlo Method for the Simulation of First Passage Times of Diffusion Processes · Study

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ArticleA Monte Carlo Method for the Simulation of First Passage Times of Diffusion Processes

Marı́a Teresa Giraudo2001

Article2001

A Monte Carlo Method for the Simulation of First Passage Times of Diffusion Processes

Marı́a Teresa Giraudo · Laura Sacerdote · Cristina Zucca

54 citations·0/0 files stored·Methodology And Computing In Applied Probability

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Stochastic processes and financial applications Probability and Statistical Research Markov Chains and Monte Carlo Methods

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1976Stochastic Differential Equations and Applications 1976Stochastic Differential Games

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2007Crossing Probabilities for Diffusion Processes with Piecewise Continuous Boundaries 2019Exact Simulation of the First-Passage Time of Diffusions 2012A first passage problem for a bivariate diffusion process: Numerical solution with an application to neuroscience when the process is Gauss–Markov 2004On some first passage time problems motivated by financial applications 2016The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach 2008A characterization of the first hitting time of double integral processes to curved boundaries 2023Data-driven identification for approximate analytical solution of first-passage problem

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Year2001

Typearticle

Published2001-06-01

VenueMethodology And Computing In Applied Probability

ISSN-L1387-5841

Languageen

Citations54

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1012261328124

openalex_workW52044255

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