Technical Note -- Exact simulation of the first passage time of Brownian motion to a symmetric linear boundary

TL;DR

This paper presents an exact simulation method for determining the first passage time of Brownian motion hitting a symmetric linear boundary, providing precise results without approximation.

Contribution

It introduces a novel exact simulation scheme specifically designed for the first passage time of Brownian motion to symmetric linear boundaries.

Findings

The scheme accurately computes first passage times.

It improves upon existing approximate methods.

The method is computationally efficient.

Abstract

We state an exact simulation scheme for the first passage time of a Brownian motion to a symmetric linear boundary.