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

We state an exact simulation scheme for the first passage time of a Brownian motion to a symmetric linear boundary.

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Bibliographic Details
Main Authors Lee, Jong Mun, Lee, Taeho
Format Journal Article
LanguageEnglish
Published 12.07.2020
Subjects
Mathematics - Probability
Mathematics - Statistics Theory
Statistics - Theory
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Summary:We state an exact simulation scheme for the first passage time of a Brownian motion to a symmetric linear boundary.
DOI:10.48550/arxiv.2007.05986