Estimation of first passage time densities of diffusions processess through time-varying boundaries

Imene Allab; Francois Watier

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arXiv · 1307.0336

Estimation of first passage time densities of diffusions processess through time-varying boundaries

Imene Allab·Francois Watier

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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.

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Imene Allab, Francois Watier. 2013-07-01. Estimation of first passage time densities of diffusions processess through time-varying boundaries. https://arxiv.org/abs/1307.0336

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