Exit problem for Ornstein-Uhlenbeck processes: a random walk approach

Abstract : 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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https://hal.archives-ouvertes.fr/hal-02143409
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Submitted on : Wednesday, May 29, 2019 - 1:34:06 PM
Last modification on : Wednesday, June 5, 2019 - 1:37:26 AM

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  • HAL Id : hal-02143409, version 1
  • ARXIV : 1906.01255

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Samuel Herrmann, Nicolas Massin. Exit problem for Ornstein-Uhlenbeck processes: a random walk approach. 2019. ⟨hal-02143409⟩

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