Exit problem for Ornstein-Uhlenbeck processes: a random walk approach

2019/06/04 by Herrmann, Samuel, Massin, Nicolas
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1906.01255

Abstract

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 generalize this numerical approach to the Ornstein-Uhlenbeck process and to describe the efficiency of the method.

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