The first passage time of a time-changed Brownian motion through a given boundary is investigated by means of three simulation methods. The time-changed process is constructed by composing the Brownian motion with the inverse of an α-stable subordinator process. We implement a path simulation algorithm and two variants of the hazard rate simulation algorithm. The two variants are based on different expressions for the hazard rate of the time-changed process. Results obtained by applying the different strategies are graphically compared and discussed.
Comparing Some Simulation Strategies for First Passage Times of Time-Changed Brownian Motion / Caputo, Luigia; Francesca Carfora, Maria; Pirozzi, Enrica. - 15174 LNCS:(2025), pp. 228-242. ( 19th International Conference on Computer Aided Systems Theory, EUROCAST 2024 Spagna 2024) [10.1007/978-3-031-83885-9_21].
Comparing Some Simulation Strategies for First Passage Times of Time-Changed Brownian Motion
Luigia Caputo;Enrica Pirozzi
2025
Abstract
The first passage time of a time-changed Brownian motion through a given boundary is investigated by means of three simulation methods. The time-changed process is constructed by composing the Brownian motion with the inverse of an α-stable subordinator process. We implement a path simulation algorithm and two variants of the hazard rate simulation algorithm. The two variants are based on different expressions for the hazard rate of the time-changed process. Results obtained by applying the different strategies are graphically compared and discussed.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
