The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain - Archive ouverte HAL
Article Dans Une Revue Mathematics and Computers in Simulation Année : 2015

The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain

Résumé

In this paper we introduce a new method for the simulation of the exit time and position of a $\delta$-dimensional Brownian motion from a domain. The main interest of our method is that it avoids splitting time schemes as well as inversion of complicated series. The idea is to use the connexion between the $\delta$-dimensional Bessel process and the $\delta$-dimensional Brownian motion thanks to an explicit Bessel hitting time distribution associated with a particular curved boundary. This allows to build a fast and accurate numerical scheme for approximating the hitting time. Numerical comparisons with existing methods are performed.
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Dates et versions

hal-00931816 , version 1 (15-01-2014)
hal-00931816 , version 2 (16-10-2015)

Identifiants

Citer

Madalina Deaconu, Samuel Herrmann, Sylvain Maire. The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain. Mathematics and Computers in Simulation, 2015. ⟨hal-00931816v1⟩
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