{"title":"关于扩散随机模拟中一次通过时间密度的注记","authors":"R. Lichters","doi":"10.2139/ssrn.3577396","DOIUrl":null,"url":null,"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].","PeriodicalId":200007,"journal":{"name":"ERN: Statistical Decision Theory; Operations Research (Topic)","volume":"151 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A Note on First Passage Time Densities for Stochastic Simulation of Diffusion\",\"authors\":\"R. Lichters\",\"doi\":\"10.2139/ssrn.3577396\",\"DOIUrl\":null,\"url\":null,\"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].\",\"PeriodicalId\":200007,\"journal\":{\"name\":\"ERN: Statistical Decision Theory; Operations Research (Topic)\",\"volume\":\"151 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-04-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Statistical Decision Theory; Operations Research (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3577396\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Statistical Decision Theory; Operations Research (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3577396","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A Note on First Passage Time Densities for Stochastic Simulation of Diffusion
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].
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