Simulation of hitting times for Bessel processes with non-integer dimension - Archive ouverte HAL
Article Dans Une Revue Bernoulli Année : 2017

Simulation of hitting times for Bessel processes with non-integer dimension

Résumé

In this paper, we complete and improve the study of the simulation of the hitting times of some given boundaries for Bessel processes. These problems are of great interest in many application fields as finance and neurosciences. In a previous work (Ann. Appl. Probab. 23 (2013) 2259–2289), the authors introduced a new method for the simulation of hitting times for Bessel processes with integer dimension. The method, called walk on moving spheres algorithm (WoMS), was based mainly on the explicit formula for the distribution of the hitting time and on the connection between the Bessel process and the Euclidean norm of the Brownian motion. This method does not apply anymore for a non-integer dimension. In this paper we consider the simulation of the hitting time of Bessel processes with non-integer dimension $\delta\geq1$ and provide a new algorithm by using the additivity property of the laws of squared Bessel processes. We split each simulation step of the algorithm in two parts: one is using the integer dimension case and the other one considers hitting time of a Bessel process starting from zero.
Fichier principal
Vignette du fichier
HAL-version2.pdf (362.9 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00933198 , version 1 (23-01-2014)
hal-00933198 , version 2 (13-05-2016)

Licence

Identifiants

Citer

Madalina Deaconu, Samuel Herrmann. Simulation of hitting times for Bessel processes with non-integer dimension. Bernoulli, 2017, 23 (4B), pp.3744 - 3771. ⟨10.3150/16-BEJ866⟩. ⟨hal-00933198v2⟩
1409 Consultations
587 Téléchargements

Altmetric

Partager

More