On exact simulations of first hitting times of the solutions of SDEs

On exact simulations of first hitting times of the solutions of SDEs

In this thesis, we look into exact simulations of first hitting times of the solutions to stochastic differential equations with unit diffusion coefficient. While discretization schemes do represent essential tools in SDE simulations, their inherent errors prove them to be unsuitable for fields wher...

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Bibliographic Details
Main Author: Durmić, Irfan
Other Authors: Matemaattis-luonnontieteellinen tiedekunta, Faculty of Sciences, Matematiikan ja tilastotieteen laitos, Department of Mathematics and Statistics, Jyväskylän yliopisto, University of Jyväskylä
Format: Master's thesis
Language:eng
Published: 2024
Subjects:
Stokastiikka ja todennäköisyysteoria
Stochastics and Probability
4041
stokastiset prosessit
simulointi
stochastic processes
simulation
Online Access: https://jyx.jyu.fi/handle/123456789/96458

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