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pro vyhledávání: '"Herrmann, Samuel"'
Autor:
Herrmann, Samuel, Massin, Nicolas
Publikováno v:
Mathematics and Computers in Simulation, 2022
Continuous-time stochastic processes play an important role in the description of random phenomena, it is therefore of prime interest to study particular variables depending on their paths, like stopping time for example. One approach consists in poi
Externí odkaz:
http://arxiv.org/abs/2106.05560
Autor:
Deaconu, Madalina, Herrmann, Samuel
We consider the path approximation of Bessel processes and develop a new and efficient algorithm. This study is based on a recent work by the authors, on the path approximation of the Brownian motion, and on the construction of specific own technique
Externí odkaz:
http://arxiv.org/abs/2106.00397
Autor:
Deaconu, Madalina, Herrmann, Samuel
This paper develops a new technique for the path approximation of one-dimensional stochastic processes, more precisely the Brownian motion and families of stochastic differential equations sharply linked to the Brownian motion (usually known as L and
Externí odkaz:
http://arxiv.org/abs/2006.04378
Autor:
Herrmann, Samuel, Zucca, Cristina
In order to describe or estimate different quantities related to a specific random variable, it is of prime interest to numerically generate such a variate. In specific situations, the exact generation of random variables might be either momentarily
Externí odkaz:
http://arxiv.org/abs/2004.02313
Autor:
Herrmann, Samuel, Massin, Nicolas
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 was already introduced in both the Brownian context and in the Ornstein-Uhlenbeck context. Here the aim is
Externí odkaz:
http://arxiv.org/abs/1906.02969
Autor:
Herrmann, Samuel, Massin, Nicolas
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 g
Externí odkaz:
http://arxiv.org/abs/1906.01255
Autor:
Herrmann, Samuel, Zucca, C.
The simulation of exit times for diffusion processes is a challenging task since it concerns many applications in different fields like mathematical finance, neuroscience, reliability... The usual procedure is to use discretiza-tion schemes which unf
Externí odkaz:
http://arxiv.org/abs/1905.04883
Autor:
Herrmann, Samuel, Massin, Nicolas
Publikováno v:
In Mathematics and Computers in Simulation January 2023 203:553-576
Autor:
Herrmann, Samuel, Zucca, Cristina
Since diffusion processes arise in so many different fields, efficient tech-nics for the simulation of sample paths, like discretization schemes, represent crucial tools in applied probability. Such methods permit to obtain approximations of the firs
Externí odkaz:
http://arxiv.org/abs/1705.06881