EXIT PROBLEM FOR ORNSTEIN-UHLENBECK PROCESSES: A RANDOM WALK APPROACH
| Affiliation auteurs | !!!! Error affiliation !!!! |
| Titre | EXIT PROBLEM FOR ORNSTEIN-UHLENBECK PROCESSES: A RANDOM WALK APPROACH |
| Type de publication | Journal Article |
| Year of Publication | 2020 |
| Auteurs | Herrmann S, Massin N |
| Journal | DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B |
| Volume | 25 |
| Pagination | 3199-3215 |
| Date Published | AUG |
| Type of Article | Article |
| ISSN | 1531-3492 |
| Mots-clés | Exit time, generalized spheroids, Ornstein-Uhlenbeck processes, WOMS algorithm |
| Résumé | 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. |
| DOI | 10.3934/dcdsb.2020058 |