Algorithms for the Laplace–Stieltjes Transforms of First Return Times for Stochastic Fluid Flows

An improved algorithm for the estimation

An improved algorithm for the estimation of the mean first passage time of ordinary stochastic differential equations

✍ M. Seeβelberg; F. Petruccione 📂 Article 📅 1993 🏛 Elsevier Science 🌐 English ⚖ 723 KB

We investigate the estimation of the mean first passage time of a stochastic differential equation by numerical methods. In order to determine the mean first passage time correctly, one needs a numerical procedure to generate trajectories which converge in the mean square limit to exact solutions of