Sampling first-passage times of fractional Brownian Motion using adaptive bisections

30 Aug 2019 Walter Benjamin Wiese Kay Joerg

We present an algorithm to efficiently sample first-passage times for fractional Brownian motion. To increase the resolution, an initial coarse lattice is successively refined close to the target, by adding exactly sampled midpoints, where the probability that they reach the target is non-negligible... (read more)

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  • STATISTICAL MECHANICS
  • COMPUTATIONAL PHYSICS