Exact simulation for the first hitting time of Brownian motion and Brownian bridge

Taeho Lee

Statistics & Probability Letters, 2023, vol. 193, issue C

Abstract: We propose an exact simulation scheme for the first hitting time of Brownian motion. Our method is applicable to expanding boundaries, which are linear or piecewise linear. We first develop an algorithm for symmetric linear boundaries, and then extend it to other boundaries using a localization technique. The extended algorithm iteratively invokes a symmetric-case algorithm, and we prove that the expected number of iterations is uniformly bounded. We apply our scheme to simulate the first hitting time of a Brownian bridge.

Keywords: Brownian motion; Brownian bridge; First hitting time; Exact simulation (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715222001754
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:193:y:2023:i:c:s0167715222001754

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2022.109654

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().