Approximation of exit times for one-dimensional linear and growth diffusion processes - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2019

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

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 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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Dates et versions

hal-02147874 , version 1 (05-06-2019)
hal-02147874 , version 2 (09-12-2019)

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Samuel Herrmann, Nicolas Massin. Approximation of exit times for one-dimensional linear and growth diffusion processes. 2019. ⟨hal-02147874v2⟩
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