Technical Note -- Exact simulation of the first passage time of Brownian motion to a symmetric linear boundary

Jong Mun Lee; Taeho Lee

Technical Note -- Exact simulation of the first passage time of Brownian motion to a symmetric linear boundary

Probability 2020-07-14 v1 Statistics Theory Statistics Theory

Authors: Jong Mun Lee , Taeho Lee

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Abstract

We state an exact simulation scheme for the first passage time of a Brownian motion to a symmetric linear boundary.

Keywords

Brownian motion first passage time exact simulation symmetric linear boundary stochastic process

Cite

@article{arxiv.2007.05986,
  title  = {Technical Note -- Exact simulation of the first passage time of Brownian motion to a symmetric linear boundary},
  author = {Jong Mun Lee and Taeho Lee},
  journal= {arXiv preprint arXiv:2007.05986},
  year   = {2020}
}