The recent availability of large vector computing facilities has suggest that Monte Carlo methods could be profitably used to obtain statistical information on first-passage-time problems. In the present paper the results of a number of Monte Carlo simultations performed on a CRAY X-MP/48 vector computer have been included to pinpoint precision versus computation time for evaluating mean, variance and skewness of the first-passage-time through constant and oscillatory boundaries by the Wiener and the Ornstein-Uhlenbeck processes.
A Monte Carlo approach to the first-passage-time problem / Buonocore, Aniello; F., Iardino. - STAMPA. - (1989), pp. 27-34. (Intervento presentato al convegno 6th EYSM tenutosi a Prague nel 21-25 August 1989).
A Monte Carlo approach to the first-passage-time problem
BUONOCORE, ANIELLO;
1989
Abstract
The recent availability of large vector computing facilities has suggest that Monte Carlo methods could be profitably used to obtain statistical information on first-passage-time problems. In the present paper the results of a number of Monte Carlo simultations performed on a CRAY X-MP/48 vector computer have been included to pinpoint precision versus computation time for evaluating mean, variance and skewness of the first-passage-time through constant and oscillatory boundaries by the Wiener and the Ornstein-Uhlenbeck processes.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
