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arXiv · 2007.05986

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

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.

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BibTeXRIS

Jong Mun Lee, Taeho Lee. 2020-07-12. Technical Note -- Exact simulation of the first passage time of Brownian motion to a symmetric linear boundary. https://arxiv.org/abs/2007.05986

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