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The first passage time of a time-changed Brownian motion through a given boundary is investigated by means of three simulation methods. The time-changed process is constructed by composing the Brownian motion with the inverse of an \(\alpha \) -stable subordinator process. We implement a path simulation algorithm and two variants of the hazard rate simulation algorithm. The two variants are based on different expressions for the hazard rate of the time-changed process. Results obtained by applying the different strategies are graphically compared and discussed.

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Comparing Some Simulation Strategies for First Passage Times of Time-Changed Brownian Motion

  • 会议论文

  • 发表日期：

    2025年

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  • Luigia Caputo,
  • Maria Francesca Carfora,
  • Enrica Pirozzi

摘要

The first passage time of a time-changed Brownian motion through a given boundary is investigated by means of three simulation methods. The time-changed process is constructed by composing the Brownian motion with the inverse of an \(\alpha \) -stable subordinator process. We implement a path simulation algorithm and two variants of the hazard rate simulation algorithm. The two variants are based on different expressions for the hazard rate of the time-changed process. Results obtained by applying the different strategies are graphically compared and discussed.