{
  "id": "1705.06881",
  "version": "v1",
  "published": "2017-05-19T07:44:57.000Z",
  "updated": "2017-05-19T07:44:57.000Z",
  "title": "Exact simulation of the first-passage time of diffusions",
  "authors": [
    "Samuel Herrmann",
    "Cristina Zucca"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "Since diffusion processes arise in so many different fields, efficient tech-nics for the simulation of sample paths, like discretization schemes, represent crucial tools in applied probability. Such methods permit to obtain approximations of the first-passage times as a by-product. For efficiency reasons, it is particularly challenging to simulate directly this hitting time by avoiding to construct the whole paths. In the Brownian case, the distribution of the first-passage time is explicitly known and can be easily used for simulation purposes. The authors introduce a new rejection sampling algorithm which permits to perform an exact simulation of the first-passage time for general one-dimensional diffusion processes. The efficiency of the method, which is essentially based on Girsanov's transformation , is described through theoretical results and numerical examples.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2017-05-19T07:44:57.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "first-passage time",
      "exact simulation",
      "general one-dimensional diffusion processes",
      "represent crucial tools",
      "diffusion processes arise"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}