Sampling first-passage times of fractional Brownian motion using adaptive bisections
نویسندگان
چکیده
منابع مشابه
First Passage Times of Two-Dimensional Brownian Motion
First passage times (FPTs) of two-dimensional Brownian motion have many applications in quantitative finance. However, despite various attempts since the 1960’s, there are few analytical solutions available. By solving a non-homogeneous modified Helmholtz equation in an infinite wedge, we find analytical solutions for the Laplace transforms of FPTs; these Laplace transforms can be inverted nume...
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2020
ISSN: 2470-0045,2470-0053
DOI: 10.1103/physreve.101.043312