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- W1609084276 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." @default.
- W1609084276 created "2016-06-24" @default.
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- W1609084276 date "2013-07-01" @default.
- W1609084276 modified "2023-09-27" @default.
- W1609084276 title "Estimation of first passage time densities of diffusions processess through time-varying boundaries" @default.
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