Technical Note -- Exact simulation of the first passage time of Brownian motion to a symmetric linear boundary
Abstract
We state an exact simulation scheme for the first passage time of a Brownian motion to a symmetric linear boundary.
- Publication:
-
arXiv e-prints
- Pub Date:
- July 2020
- DOI:
- 10.48550/arXiv.2007.05986
- arXiv:
- arXiv:2007.05986
- Bibcode:
- 2020arXiv200705986L
- Keywords:
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- Mathematics - Probability;
- Mathematics - Statistics Theory
- E-Print:
- 6 pages