{
  "id": "1008.1326",
  "version": "v1",
  "published": "2010-08-07T11:53:23.000Z",
  "updated": "2010-08-07T11:53:23.000Z",
  "title": "Efficient estimation of one-dimensional diffusion first passage time densities via Monte Carlo simulation",
  "authors": [
    "Tomoyuki Ichiba",
    "Constantinos Kardaras"
  ],
  "comment": "14 pages, 2 figures",
  "categories": [
    "math.PR"
  ],
  "abstract": "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 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 $1 / \\sqrt{N}$, where $N$ is the sample size, is achieved, the last being in sharp contrast to the slower non-parametric rates achieved by kernel smoothing of cumulative distribution functions.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2010-08-07T11:53:23.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "first passage time density",
      "one-dimensional diffusion first passage time",
      "diffusion first passage time densities",
      "monte carlo simulation",
      "efficient estimation"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 14,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2010arXiv1008.1326I"
    }
  }
}