Department of Statistics Seminar
North Carolina State University
presents
Laura Sacerdote
Universita di Torino (visiting NCSU)
"A Technique for the Simulation of First Passage Times for Diffusion Processes"
ABSTRACT In description of the dynamics of complex systems the necessity often arises to consider first passage time (FPT) of diffusion processes through a particular boundary. Examples can be mentioned in different contexts such as biology, engineering, statistics, or medicine. The general idea is that simulation is the easiest approach expecially for nonmathematical researchers.
However, even though simulation seems to involve fewer theoretical efforts than purely numerical techniques, FPT simulation presents some hidden difficulties that can lead to unreliable results. Indeed absorption may occur during a time discretization interval and this gives rise to a systematic overestimation of the FPT. We show that a reliable algorithm for the simulation of FPT can be proposed but it requires a mathematical effort similar to numerical techniques.
We focus finally on a possible improvement of the algorithm that makes it of easier use for nonmathematical researchers.
Friday, October 2, 1998
3:35 - 4:35 pm
206 Cox Hall
Refreshments will be served on the second floor of Dabney Hall (left of Room 222) at 3:00 pm.