Download This PaperA Note on First Passage Time Densities for Stochastic Simulation of Diffusion
6 Pages Posted: 11 May 2020
Date Written: April 16, 2020
Abstract
This brief note extends our working paper [1]. A central claim in [1] is that the first passage time densities in 1-3 dimensions have upper bounds that allow the implementation of efficient von Neumann rejection schemes for generating random first passage times. This approach was adopted, among other methods, in [4]. The claim mentioned above was not proved in [1]. This note attempts to close this gap using the arguments provided in [2].
Suggested Citation: Suggested Citation
Lichters, Roland, A Note on First Passage Time Densities for Stochastic Simulation of Diffusion (April 16, 2020). Available at SSRN: https://ssrn.com/abstract=3577396 or http://dx.doi.org/10.2139/ssrn.3577396
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