Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation

Content Provider	Scilit
Author	Ichiba, Tomoyuki Kardaras, Constantinos
Copyright Year	2011
Description	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.
Related Links	https://www.cambridge.org/core/services/aop-cambridge-core/content/view/444BD6816C6B872BFE69118FC3677979/S0021900200008251a.pdf/div-class-title-efficient-estimation-of-one-dimensional-diffusion-first-passage-time-densities-via-monte-carlo-simulation-div.pdf
Ending Page	712
Page Count	14
Starting Page	699
ISSN	00219002
e-ISSN	14756072
DOI	10.1017/s0021900200008251
Journal	Journal of applied probability
Issue Number	03
Volume Number	48
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2011-09-01
Access Restriction	Open
Subject Keyword	Journal of applied probability Statistics and Probability First Passage Time Monte Carlo Density Estimation dimensional Diffusion dimensional Brownian Bridge Rate Function
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Statistics, Probability and Uncertainty