Algorithms for the simulation of sample paths of Gauss–Markov processes, restricted from below by particular time-dependent reflecting boundaries, are proposed. These algorithms are used to build the histograms of first passage time density through specified boundaries and for the estimation of related moments. Particular attention is dedicated to restricted Wiener and Ornstein–Uhlenbeck processes due to their central role in the class of Gauss–Markov processes.
Simulation of sample paths for Gauss–Markov processes in the presence of a reflecting boundary / Buonocore, Aniello; Nobile, Amelia G.; Pirozzi, Enrica. - In: COGENT MATHEMATICS. - ISSN 2331-1835. - 4:1(2017), pp. 1-22. [10.1080/23311835.2017.1354469]
Simulation of sample paths for Gauss–Markov processes in the presence of a reflecting boundary
Aniello Buonocore;Enrica Pirozzi
2017
Abstract
Algorithms for the simulation of sample paths of Gauss–Markov processes, restricted from below by particular time-dependent reflecting boundaries, are proposed. These algorithms are used to build the histograms of first passage time density through specified boundaries and for the estimation of related moments. Particular attention is dedicated to restricted Wiener and Ornstein–Uhlenbeck processes due to their central role in the class of Gauss–Markov processes.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
