作者
Maria Teresa Giraudo, Laura Sacerdote
发表日期
1999/1/1
期刊
Communications in Statistics-Simulation and Computation
卷号
28
期号
4
页码范围
1135-1163
出版商
Marcel Dekker, Inc.
简介
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.
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