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A Monte Carlo Method for the Simulation of First Passage Times of Diffusion Processes
2 references·7 citing·22 second hop
A Monte Carlo Method for the Simulation of First Passage Times of Diffusion Processes (2001)A Monte Carlo Method for the Simulation o…Stochastic Differential Games (1976)Stochastic Differential GamesStochastic Differential Equations and Applications (1976)Stochastic Differential Equat…Data-driven identification for approximate analytical solution of first-passage problem (2023)Data-driven identification fo…Exact Simulation of the First-Passage Time of Diffusions (2019)Exact Simulation of the First…The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach (2016)The First-passage Time of the…A first passage problem for a bivariate diffusion process: Numerical solution with an application to neuroscience when the process is Gauss–Markov (2012)A first passage problem for a…A characterization of the first hitting time of double integral processes to curved boundaries (2008)A characterization of the fir…Crossing Probabilities for Diffusion Processes with Piecewise Continuous Boundaries (2007)Crossing Probabilities for Di…On some first passage time problems motivated by financial applications (2004)On some first passage time pr…Continuous Martingales and Brownian Motion (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Brownian Motion and Stochastic Calculus (2007)STOCHASTIC DIFFERENTIAL EQUATIONS: THEORY AND APPLICATIONS (1976)Stochastic Differential Equations: Theory and Applications. (1976)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Brownian motion and stochastic calculus (1991)A Continuity Correction for Discrete Barrier Options (1997)Stochastic Simulation (1987)Numerical solution of stochastic differential equations (2016)Brownian Motion and Stochastic Calculus (1998)Some First-Passage Problems in Random Vibration (1966)The Generalized Cell Mapping Method in Nonlinear Random Vibration Based Upon Short-Time Gaussian Approximation (1990)Stochastic Dynamics of Structures (2009)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)An Exact Bond Option Formula (1989)A pricing method for options based on average asset values (1990)Large deviations of semimartingales: A maxingale problem approach i. limits as solutions to a maxingale problem (1997)Finite expiry Russian options (2004)On the value of optimal stopping games (2006)
this work references cited by second hop

References

  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 1976Stochastic Differential Games62 cited

Cited by

  • 2007Crossing Probabilities for Diffusion Processes with Piecewise Continuous Boundaries51 cited
  • 2019Exact Simulation of the First-Passage Time of Diffusions23 cited
  • 2012A first passage problem for a bivariate diffusion process: Numerical solution with an application to neuroscience when the process is Gauss–Markov22 cited
  • 2004On some first passage time problems motivated by financial applications22 cited
  • 2016The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach21 cited
  • 2008A characterization of the first hitting time of double integral processes to curved boundaries20 cited
  • 2023Data-driven identification for approximate analytical solution of first-passage problem10 cited

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