Estimation of first passage time densities of diffusions processess through time-varying boundaries
Probability
2013-07-02 v1
Abstract
In this paper, we develop a Monte Carlo based algorithm for estimating the FPT density of a time-homogeneous SDE through a time-dependent frontier. We consider Brownian bridges as well as localized Daniels curve approximations to obtain tractable estimations of the FPT probability between successive points of a simulated path of the process. Under mild assumptions, a (unique) Daniels curve local approximation can easily be obtained by explicitly solving a non-linear system of equations.
Keywords
Cite
@article{arxiv.1307.0336,
title = {Estimation of first passage time densities of diffusions processess through time-varying boundaries},
author = {Imene Allab and Francois Watier},
journal= {arXiv preprint arXiv:1307.0336},
year = {2013}
}
Comments
9 pages, 4 figures