Exact simulation of the first-passage time of SDEs to time-dependent thresholds

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	A3303-A3329
Number of pages	27
Journal	SIAM Journal on Scientific Computing
Volume	47
Issue number	6
DOIs	https://doi.org/10.1137/24M1718093
Publication status	Published - 04 Nov 2025

Fields of science

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title = "Exact simulation of the first-passage time of SDEs to time-dependent thresholds",

author = "Devika Khurana and Sascha Desmettre and Evelyn Buckwar",

year = "2025",

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journal = "SIAM Journal on Scientific Computing",

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publisher = "Society for Industrial and Applied Mathematics, Philadelphia",

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T1 - Exact simulation of the first-passage time of SDEs to time-dependent thresholds

AU - Khurana, Devika

AU - Desmettre, Sascha

AU - Buckwar, Evelyn

PY - 2025/11/4

Y1 - 2025/11/4

U2 - 10.1137/24M1718093

DO - 10.1137/24M1718093

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JO - SIAM Journal on Scientific Computing

JF - SIAM Journal on Scientific Computing

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