Simulation of hitting times for Bessel processes with non-integer dimension

DOI10.3150/16-BEJ866zbMath1407.60110arXiv1401.4843OpenAlexW2249515978MaRDI QIDQ2405172

Madalina Deaconu, Samuel Herrmann

Publication date: 21 September 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.4843

zbMATH Keywords

hitting timenumerical algorithmBessel processes with non-integer dimension

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (6)

Initial-boundary value problem for the heat equation -- a stochastic algorithm ⋮ Exit problem for Ornstein-Uhlenbeck processes: a random walk approach ⋮ Strong approximation of some particular one-dimensional diffusions ⋮ Strong approximation of Bessel processes ⋮ Approximation of exit times for one-dimensional linear diffusion processes ⋮ Approximating exit times of continuous Markov processes

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