Ichiba, Tomoyuki and Kardaras, Constantinos 
ORCID: 0000-0001-6903-4506
(2011)
Efficient estimation of one-dimensional diffusion first passage time densities via Monte Carlo simulation.
Journal of Applied Probability, 48 (3).
pp. 699-712.
ISSN 0021-9002
Abstract
We propose a method for estimating first passage time densities of one-dimensional diffusions via Monte Carlo simulation. Our approach involves a representation of the first passage time density as the expectation of a functional of the three-dimensional Brownian bridge. As the latter process can be simulated exactly, our method leads to almost unbiased estimators. Furthermore, since the density is estimated directly, a convergence of order 1 / √N, where N is the sample size, is achieved, which is in sharp contrast to the slower nonparametric rates achieved by kernel smoothing of cumulative distribution functions.
| Item Type: | Article |
|---|---|
| Official URL: | https://projecteuclid.org/info/euclid.jap |
| Additional Information: | first passage time, Monte Carlo density estimation, one-dimensional diffusion, three-dimensional Brownian bridge, rate function |
| Divisions: | Mathematics |
| Subjects: | Q Science > QA Mathematics |
| Date Deposited: | 30 Nov 2017 14:17 |
| Last Modified: | 01 Oct 2024 03:38 |
| URI: | http://eprints.lse.ac.uk/id/eprint/85898 |
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