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Fast Computation of Path Integrals of Killed Processes Using Confined Stochastic Bridges

H. B. Monteiro,D. Tartakovsky

Published 2025 in Unknown venue

ABSTRACT

Expectations of path integrals of killed stochastic processes play a central role in several applications across physics, chemistry, and finance. Simulation-based evaluation of these functionals is often biased and numerically expensive due to the need to explicitly approximate stochastic paths and the challenge of correctly modeling them in the neighborhood of the killing boundary. We consider It\^{o} processes killed at the boundary of some set in the $n$-dimensional space and introduce a novel stochastic method with negligible bias and lower computational cost to evaluate path integrals without simulated paths. Our approach draws a connection between stochastic bridges and killed processes to sample only exit times and locations instead of the full path. We apply it to a Wiener process killed in the $n$-ball and explicitly derive the density of the Brownian bridge confined to the $n$-ball for $n = 1, 2, 3$. Finally, we present two numerical examples that demonstrate the efficiency and negligible bias of the novel procedure compared to an evaluation using the standard Euler-Maruyama method.

PUBLICATION RECORD

  • Publication year

    2025

  • Venue

    Unknown venue

  • Publication date

    2025-08-05

  • Fields of study

    Mathematics, Physics, Chemistry, Computer Science

  • Identifiers
    arXiv 2508.03671
  • External record

    Open on Semantic Scholar

  • Source metadata

    Semantic Scholar

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