{"id":"https://openalex.org/W4415847871","doi":"https://doi.org/10.1137/24m1718093","title":"Exact Simulation of the First-Passage Time of Diffusions to Time-Dependent Thresholds","display_name":"Exact Simulation of the First-Passage Time of Diffusions to Time-Dependent Thresholds","publication_year":2025,"publication_date":"2025-11-04","ids":{"openalex":"https://openalex.org/W4415847871","doi":"https://doi.org/10.1137/24m1718093"},"language":"en","primary_location":{"id":"doi:10.1137/24m1718093","is_oa":false,"landing_page_url":"https://doi.org/10.1137/24m1718093","pdf_url":null,"source":{"id":"https://openalex.org/S165512578","display_name":"SIAM Journal on Scientific Computing","issn_l":"1064-8275","issn":["1064-8275","1095-7197"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Scientific Computing","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5115539708","display_name":"Devika Khurana","orcid":null},"institutions":[{"id":"https://openalex.org/I121883995","display_name":"Johannes Kepler University of Linz","ror":"https://ror.org/052r2xn60","country_code":"AT","type":"education","lineage":["https://openalex.org/I121883995"]}],"countries":["AT"],"is_corresponding":false,"raw_author_name":"Devika Khurana","raw_affiliation_strings":["Institute of Stochastics, Johannes Kepler University Linz, Linz, 4040 Austria"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Stochastics, Johannes Kepler University Linz, Linz, 4040 Austria","institution_ids":["https://openalex.org/I121883995"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5004229445","display_name":"Sascha Desmettre","orcid":"https://orcid.org/0000-0002-2084-9496"},"institutions":[{"id":"https://openalex.org/I121883995","display_name":"Johannes Kepler University of Linz","ror":"https://ror.org/052r2xn60","country_code":"AT","type":"education","lineage":["https://openalex.org/I121883995"]}],"countries":["AT"],"is_corresponding":false,"raw_author_name":"Sascha Desmettre","raw_affiliation_strings":["Institute of Financial Mathematics and Applied Number Theory, Johannes Kepler University Linz, Linz, 4040, Austria"],"raw_orcid":"https://orcid.org/0000-0002-2084-9496","affiliations":[{"raw_affiliation_string":"Institute of Financial Mathematics and Applied Number Theory, Johannes Kepler University Linz, Linz, 4040, Austria","institution_ids":["https://openalex.org/I121883995"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5062566738","display_name":"Evelyn Buckwar","orcid":"https://orcid.org/0000-0002-6441-2990"},"institutions":[{"id":"https://openalex.org/I121883995","display_name":"Johannes Kepler University of Linz","ror":"https://ror.org/052r2xn60","country_code":"AT","type":"education","lineage":["https://openalex.org/I121883995"]}],"countries":["AT"],"is_corresponding":false,"raw_author_name":"Evelyn Buckwar","raw_affiliation_strings":["Institute of Stochastics, Johannes Kepler University Linz, Linz, 4040 Austria"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Stochastics, Johannes Kepler University Linz, Linz, 4040 Austria","institution_ids":["https://openalex.org/I121883995"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I121883995"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.21813169,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"47","issue":"6","first_page":"A3303","last_page":"A3329"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11513","display_name":"stochastic dynamics and bifurcation","score":0.16449999809265137,"subfield":{"id":"https://openalex.org/subfields/3109","display_name":"Statistical and Nonlinear Physics"},"field":{"id":"https://openalex.org/fields/31","display_name":"Physics and Astronomy"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T11513","display_name":"stochastic dynamics and bifurcation","score":0.16449999809265137,"subfield":{"id":"https://openalex.org/subfields/3109","display_name":"Statistical and Nonlinear Physics"},"field":{"id":"https://openalex.org/fields/31","display_name":"Physics and Astronomy"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10581","display_name":"Neural dynamics and brain function","score":0.05119999870657921,"subfield":{"id":"https://openalex.org/subfields/2805","display_name":"Cognitive Neuroscience"},"field":{"id":"https://openalex.org/fields/28","display_name":"Neuroscience"},"domain":{"id":"https://openalex.org/domains/1","display_name":"Life Sciences"}},{"id":"https://openalex.org/T11414","display_name":"Quantum optics and atomic interactions","score":0.04190000146627426,"subfield":{"id":"https://openalex.org/subfields/3107","display_name":"Atomic and Molecular Physics, and Optics"},"field":{"id":"https://openalex.org/fields/31","display_name":"Physics and Astronomy"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/numerical-analysis","display_name":"Numerical analysis","score":0.27889999747276306},{"id":"https://openalex.org/keywords/work","display_name":"Work (physics)","score":0.272599995136261},{"id":"https://openalex.org/keywords/exact-solutions-in-general-relativity","display_name":"Exact solutions in general relativity","score":0.26179999113082886},{"id":"https://openalex.org/keywords/diffusion","display_name":"Diffusion","score":0.26080000400543213},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.2587999999523163}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7337999939918518},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5514000058174133},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.39070001244544983},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.29109999537467957},{"id":"https://openalex.org/C48753275","wikidata":"https://www.wikidata.org/wiki/Q11216","display_name":"Numerical analysis","level":2,"score":0.27889999747276306},{"id":"https://openalex.org/C18762648","wikidata":"https://www.wikidata.org/wiki/Q42213","display_name":"Work (physics)","level":2,"score":0.272599995136261},{"id":"https://openalex.org/C520416788","wikidata":"https://www.wikidata.org/wiki/Q5419229","display_name":"Exact solutions in general relativity","level":2,"score":0.26179999113082886},{"id":"https://openalex.org/C69357855","wikidata":"https://www.wikidata.org/wiki/Q163214","display_name":"Diffusion","level":2,"score":0.26080000400543213},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.2587999999523163},{"id":"https://openalex.org/C112972136","wikidata":"https://www.wikidata.org/wiki/Q7595718","display_name":"Stability (learning theory)","level":2,"score":0.2551000118255615},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.2547999918460846},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.2522999942302704}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/24m1718093","is_oa":false,"landing_page_url":"https://doi.org/10.1137/24m1718093","pdf_url":null,"source":{"id":"https://openalex.org/S165512578","display_name":"SIAM Journal on Scientific Computing","issn_l":"1064-8275","issn":["1064-8275","1095-7197"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Scientific Computing","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321181","display_name":"Austrian Science Fund","ror":"https://ror.org/013tf3c58"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":40,"referenced_works":["https://openalex.org/W52044255","https://openalex.org/W1930882414","https://openalex.org/W1943271552","https://openalex.org/W1968094130","https://openalex.org/W1971484716","https://openalex.org/W1976880943","https://openalex.org/W1984614900","https://openalex.org/W1999583668","https://openalex.org/W1999844375","https://openalex.org/W2006533898","https://openalex.org/W2015510160","https://openalex.org/W2019720802","https://openalex.org/W2022237855","https://openalex.org/W2052923946","https://openalex.org/W2064401329","https://openalex.org/W2068202052","https://openalex.org/W2086411323","https://openalex.org/W2113382038","https://openalex.org/W2123167211","https://openalex.org/W2129105779","https://openalex.org/W2163037328","https://openalex.org/W2193187935","https://openalex.org/W2321230462","https://openalex.org/W2592871158","https://openalex.org/W2618146068","https://openalex.org/W2626315347","https://openalex.org/W2891313102","https://openalex.org/W2953000920","https://openalex.org/W2965593074","https://openalex.org/W2986214799","https://openalex.org/W3121977112","https://openalex.org/W3134181220","https://openalex.org/W3137467125","https://openalex.org/W3163686176","https://openalex.org/W3173033224","https://openalex.org/W3204198825","https://openalex.org/W4231081240","https://openalex.org/W4232997189","https://openalex.org/W4301088890","https://openalex.org/W4324138015"],"related_works":[],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-06-26T08:34:08.712188","created_date":"2025-11-04T00:00:00"}