Approximation of exit times for one-dimensional linear diffusion processes

DOI10.1016/j.camwa.2020.07.023zbMath1456.60202arXiv1906.02969OpenAlexW3080549030MaRDI QIDQ2210603

Nicolas Massin, Samuel Herrmann

Publication date: 7 November 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.02969

zbMATH Keywords

random walkexit timestochastic algorithmlinear diffusiongeneralized spheroids

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (1)

Strong approximation of some particular one-dimensional diffusions

Cites Work

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• Some Continuous Monte Carlo Methods for the Dirichlet Problem
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• Joint Densities of First Hitting Times of a Diffusion Process Through Two Time-Dependent Boundaries
• Stochastic differential equations. An introduction with applications.

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