Exit problem for Ornstein-Uhlenbeck processes: a random walk approach
Probability
2019-10-29 v2
Abstract
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.
Cite
@article{arxiv.1906.01255,
title = {Exit problem for Ornstein-Uhlenbeck processes: a random walk approach},
author = {Samuel Herrmann and Nicolas Massin},
journal= {arXiv preprint arXiv:1906.01255},
year = {2019}
}
Comments
arXiv admin note: text overlap with arXiv:1906.02969