Exit problem for Ornstein-Uhlenbeck processes: A random walk approach - Archive ouverte HAL
Article Dans Une Revue Discrete and Continuous Dynamical Systems - Series B Année : 2020

Exit problem for Ornstein-Uhlenbeck processes: A random walk approach

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.

Dates et versions

hal-03026241 , version 1 (26-11-2020)

Identifiants

Citer

Samuel Herrmann, Nicolas Massin. Exit problem for Ornstein-Uhlenbeck processes: A random walk approach. Discrete and Continuous Dynamical Systems - Series B, 2020, 25 (8), pp.3199-3215. ⟨10.3934/dcdsb.2020058⟩. ⟨hal-03026241⟩
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