Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS)

DOI10.1214/12-AAP900zbMath1298.65018arXiv1111.3736OpenAlexW2073330760MaRDI QIDQ389064

Samuel Herrmann, Madalina Deaconu

Publication date: 17 January 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.3736

zbMATH Keywords

algorithmnumerical exampleBrownian motionBessel processeshitting timemethod of imageCox-Ingersoll-Ross processes

Mathematics Subject Classification ID

Related Items (14)

Lie symmetries methods in boundary crossing problems for diffusion processes ⋮ On an approach to boundary crossing by stochastic processes ⋮ Walk on spheres algorithm for Helmholtz and Yukawa equations via Duffin correspondence ⋮ Initial-boundary value problem for the heat equation -- a stochastic algorithm ⋮ Efficient discretisation of stochastic differential equations ⋮ Strong approximation of some particular one-dimensional diffusions ⋮ Strong approximation of Bessel processes ⋮ Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps ⋮ The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain ⋮ Efficient simulation of the Schrödinger equation with a piecewise constant positive potential ⋮ Invariance formulas for stopping times of squared Bessel process ⋮ Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score ⋮ Approximating exit times of continuous Markov processes ⋮ An integral equation for Root's barrier and the generation of Brownian increments

Cites Work

• Unnamed Item
• Unnamed Item
• Boundary-crossing identities for diffusions having the time-inversion property
• Mathematical foundations of neuroscience
• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• A survey and some generalizations of Bessel processes
• On the comparison of Feller and Ornstein-Uhlenbeck models for neural activity
• On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
• Hitting times of Bessel processes
• The probability distributions of the first hitting times of Bessel processes
• Some Continuous Monte Carlo Methods for the Dirichlet Problem
• Markov Chains
• Weak approximation of a diffusion process in a bounded domain
• Spiking Neuron Models
• The minimum of a stationary Markov process superimposed on a U-shaped trend
• First Passage times and Sojourn Times for Brownian Motion in Space and the Exact Hausdorff Measure of the Sample Path

This page was built for publication: Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS)