| Autor: |
Herrmann, Samuel, Massin, Nicolas |
| Rok vydání: |
2019 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
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 therefore to generalize this efficient numerical approach in order to obtain an approximation of both the exit time and position for either a general linear diffusion or a growth diffusion. The efficiency of the method is described with particular care through theoretical results and numerical examples. |
| Databáze: |
arXiv |
| Externí odkaz: |
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