2 papers
math.PR2012
Two Brownian Particles with Rank-Based Characteristics and Skew-Elastic Collisions
E. Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas
We construct a two-dimensional diffusion process with rank-dependent local drift and dispersion coefficients, and with a full range of patterns of behavior upon collision that rang…
math.PR2010
Efficient estimation of one-dimensional diffusion first passage time densities via Monte Carlo simulation
Tomoyuki Ichiba, Constantinos Kardaras
We propose a method for estimating first passage time densities of one-dimensional diffusions via Monte Carlo simulation. Our approach involves a representation of the first passag…