## Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

## If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

# EFFICIENT ESTIMATION OF ONE-DIMENSIONAL DIFFUSION FIRST PASSAGE TIME DENSITIES VIA MONTE CARLO SIMULATION

TOMOYUKI ICHIBA and CONSTANTINOS KARDARAS
Journal of Applied Probability
Vol. 48, No. 3 (SEPTEMBER 2011), pp. 699-712
Stable URL: http://www.jstor.org/stable/23065930
Page Count: 14
Preview not available

## Abstract

We propose a method for estimating first passage time densities of one-dimensional diffusions via Monte Carlo simulation. Our approach involves a representation of the first passage time density as the expectation of a functional of the three-dimensional Brownian bridge. As the latter process can be simulated exactly, our method leads to almost unbiased estimators. Furthermore, since the density is estimated directly, a convergence of order $1/\sqrt{\mathrm{N}}$ , where N is the sample size, is achieved, which is in sharp contrast to the slower nonparametric rates achieved by kernel smoothing of cumulative distribution functions.

• 699
• 700
• 701
• 702
• 703
• 704
• 705
• 706
• 707
• 708
• 709
• 710
• 711
• 712