Exit problem for Ornstein-Uhlenbeck processes: a random walk approach
Overview & Synopsis
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm so-called Walk on Moving Spheres was already introduced in the Brownian context. The aim is therefore to generalize this numerical approach to the Ornstein-Uhlenbeck process and to describe the efficiency of the method.
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Document Information
| Document Title | Exit problem for Ornstein-Uhlenbeck processes: a random walk approach |
|---|---|
| Author / Organization | Samuel Herrmann, Nicolas Massin |
| Subject & Discipline | Multidisciplinary Academic Open Research |
| Categories | Science & Mathematics |
| Publication Year | 2019 |
| License / Rights | Open Access / Creative Commons |
| Resource Verification | Listed PDF (Verification Pending) |
| Original Host Website |
HAL Open Science
(hal.science)
|
| File Format | application/pdf (Portable Document Format) |
| Language | EN |
| Catalog ID | DOC-190893 |
| Original Source Link | Visit Source Page on hal.science » |