A reliable Monte Carlo method for the evaluation of first passage times of diffusion
processes through boundaries is proposed. A nested algorithm that simulates the first …

Improved simulation schemes for the evaluation of first passage times through boundaries
for one dimensional diffusion processes can be obtained taking into account possible …

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 …

A Monte Carlo method for simulating a multi-dimensional diffusion process conditioned on
hitting a fixed point at a fixed future time is developed. Proposals for such diffusion bridges …

We consider the boundary crossing problem for time-homogeneous diffusions and general
curvilinear boundaries. Bounds are derived for the approximation error of the one-sided …

We present an algorithm for exact simulation of a class of Itô's diffusions. We demonstrate
that when the algorithm is applicable, it is also straightforward to simulate diffusions …

In this paper we devise a method of numerically estimating the expected first passage times
of stochastic processes. We use Monte Carlo path simulations with Milstein discretisation …

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 …

The asymptotic behavior of the first-passage-time pdf through a constant boundary is studied
when the boundary approaches the endpoints of the diffusion interval. We show that for a …

The simulation of exit times for diffusion processes is a challenging task since it concerns
many applications in different fields like mathematical finance, neuroscience, reliability …