Sensitivity of boundary crossing probabilities of the Brownian motion

被引：0
|
作者：
Guer, Sercan [1 ]
Poetzelberger, Klaus [1 ]
机构：
[1] WU Vienna Univ Econ & Business, Inst Stat & Math, Vienna, Austria
来源：
MONTE CARLO METHODS AND APPLICATIONS | 2019年 / 25卷 / 01期
关键词：
Boundary crossing probability; first exit time; sensitivity; perturbation of boundary; adaptive control variable;
D O I：
10.1515/mcma-2019-2031
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The paper analyzes the sensitivity of boundary crossing probabilities of the Brownian motion to perturbations of the boundary. The first- and second-order sensitivities, i.e. the directional derivatives of the probability, are derived. Except in cases where boundary crossing probabilities for the Brownian bridge are given in closed form, the sensitivities have to be computed numerically. We propose an efficient Monte Carlo procedure.
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页码：75 / 83
页数：9
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