Approximation of exit times for one-dimensional linear and growth diffusion processes

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 was already introduced in both the Brownian context and in the Ornstein-Uhlenbeck context. Here the aim is therefore to generalize this efficient numerical approach in order to obtain an approximation of both the exit time and position for either a general linear diffusion or a growth diffusion. The efficiency of the method is described with particular care through theoretical results and numerical examples.
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https://hal.archives-ouvertes.fr/hal-02147874
Contributor : Samuel Herrmann <>
Submitted on : Wednesday, June 5, 2019 - 9:57:42 AM
Last modification on : Saturday, June 8, 2019 - 1:37:44 AM

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  • HAL Id : hal-02147874, version 1
  • ARXIV : 1906.02969

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Samuel Herrmann, Nicolas Massin. Approximation of exit times for one-dimensional linear and growth diffusion processes. 2019. ⟨hal-02147874⟩

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