Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A New Algorithm to Simulate the First Exit Times of a Vector of Brownian
  Motions, with an Application to Finance   We provide a new methodology to simulate the first exit times of a vector of
Brownian motions from an orthant. This new approach can be used to simulate the
first exit times of dimension higher than two. When at least one Brownian
motion has non-zero drift, the joint density function of the first exit times
in N dimensions needs to be known, or approximated. However, when the drifts
are all zero, a simpler simulation algorithm is obtained without using the
joint density function.

29
The categories of this paper are: funct-an
20
The categories of this paper are: acc-phys
5
The categories of this paper are: gr-qc
23
The categories of this paper are: solv-int
3
The categories of this paper are: physics
7
The categories of this paper are: hep-th
21
The categories of this paper are: adap-org
16
The categories of this paper are: stat
34
The categories of this paper are: chem-ph
17
The categories of this paper are: q-fin
11
The categories of this paper are: hep-lat
25
The categories of this paper are: patt-sol
27
The categories of this paper are: comp-gas
14
The categories of this paper are: math-ph
1
The categories of this paper are: cs
4
The categories of this paper are: cond-mat