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
Published inarXiv.org
Main Authors Lee, Jong Mun, Lee, Taeho
Format Paper
LanguageEnglish
Published Ithaca Cornell University Library, arXiv.org 12.07.2020
Subjects
Brownian motion
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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.
ISSN:2331-8422