Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes

اسناد مشابه

• First Passage times of a Jump Diffusion Process

  سند علمی۲۰۰۳S. G. KOU

  This paper studies the first passage times to flat boundaries for a double exponential jump diffusion process, which consists of a continuous part driven by a Brownian motion and a jump part with jump sizes having a double exponential distribution. Explicit solutions of the Lapla

• Monte-Carlo Simulations of the First Passage Time for Multivariate Jump-Diffusion Processes in Financial Applications

  سند علمی۲۰۰۷CoRRDi Zhang, Roderick V. N. Melnik

  Many problems in finance require the information on the first passage time (FPT) of a stochastic process. Mathematically, such problems are often reduced to the evaluation of the probability density of the time for such a process to cross a certain level, a boundary, or to enter

• An exact and efficient first passage time algorithm for reaction-diffusion processes on a 2D-lattice

  سند علمی۲۰۱۴J. Comput. PhysicsAndri Bezzola, Benjamin B. Bales, Richard C. Alkire, Linda R. Petzold

  We present an exact and efficient algorithm for reaction-diffusion-nucleation processes on a 2D lattice. The algorithm makes use of first-passage time (FPT) to replace the computationally intensive simulation of diffusion hops in KMC by larger jumps when particles are far away fr

• First Passage Time for Multivariate Jump-diffusion Stochastic Models With Applications in Finance

  سند علمی۲۰۰۷CoRRDi Zhang, Roderick V. N. Melnik

  The “first passage-time” problem is an important problem with a wide range of applications in mathematics, physics, biology and finance. Mathematically, such a problem can be reduced to estimating the probability of a (stochastic) process first to reach a critical level or thresh

• Approximation of the first passage time density of a Wiener process to an exponentially decaying boundary by two-piecewise linear threshold. Application to neuronal spiking activity.

  سند علمی۲۰۱۶Mathematical biosciences and engineering : MBEMassimiliano Tamborrino

  The first passage time density of a diffusion process to a time varying threshold is of primary interest in different fields. Here, we consider a Brownian motion in presence of an exponentially decaying threshold to model the neuronal spiking activity. Since analytical expression

• Efficient estimation of default correlation for multivariate jump-diffusion processes

  سند علمی۲۰۰۷CoRRDi Zhang, Roderick V. N. Melnik

  Evaluation of default correlation is an important task in credit risk analysis. In many practical situations, it concerns the joint defaults of several correlated firms, the task that is reducible to a first passage time (FPT) problem. This task represents a great challenge for j