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

DOI10.3934/dcdsb.2020058OpenAlexW2948994165MaRDI QIDQ2188138

Nicolas Massin, Samuel Herrmann

Publication date: 4 June 2020

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.01255

zbMATH Keywords

exit timeOrnstein-Uhlenbeck processesgeneralized spheroidsWOMS algorithm

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Martingales and classical analysis (60G46)

Related Items (3)

Exact solutions of the two-side exit time problems for the Vasicek model ⋮ Approximation of exit times for one-dimensional linear diffusion processes ⋮ Mean exit time and escape probability for the Ornstein–Uhlenbeck process

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