Exact Simulation of the First-Passage Time of Diffusions - Université de Bourgogne Accéder directement au contenu
Article Dans Une Revue Journal of Scientific Computing Année : 2019

Exact Simulation of the First-Passage Time of Diffusions


Since diffusion processes arise in so many different fields, efficient technics for the simulation of sample paths, like discretization schemes, represent crucial tools in applied probability. Such methods permit to obtain approximations of the first-passage times as a by-product. For efficiency reasons, it is particularly challenging to simulate directly this hitting time by avoiding to construct the whole paths. In the Brownian case, the distribution of the first-passage time is explicitly known and can be easily used for simulation purposes. The authors introduce a new rejection sampling algorithm which permits to perform an exact simulation of the first-passage time for general one-dimensional diffusion processes. The efficiency of the method, which is essentially based on Girsanov's transformation, is described through theoretical results and numerical examples.

Dates et versions

hal-02173732 , version 1 (04-07-2019)



Samuel Herrmann, Cristina Zucca. Exact Simulation of the First-Passage Time of Diffusions. Journal of Scientific Computing, 2019, 79 (3), pp.1477-1504. ⟨10.1007/s10915-018-00900-3⟩. ⟨hal-02173732⟩
34 Consultations
0 Téléchargements



Gmail Facebook Twitter LinkedIn More