Approximation of exit times for one-dimensional linear diffusion processes
S Herrmann, N Massin - Computers & Mathematics with Applications, 2020 - Elsevier
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 …
algorithm based on a random walk. Such an algorithm was already introduced in both the …
Strong approximation of particular one-dimensional diffusions
M Deaconu, S Herrmann - arXiv preprint arXiv:2006.04378, 2020 - arxiv.org
This paper develops a new technique for the path approximation of one-dimensional
stochastic processes, more precisely the Brownian motion and families of stochastic …
stochastic processes, more precisely the Brownian motion and families of stochastic …
Strong approximation of some particular one-dimensional diffusions
M Deaconu, S Herrmann - Discrete and Continuous Dynamical Systems …, 2023 - hal.science
We develop a new technique for the path approximation of one-dimensional stochastic
processes. Our results apply to the Brownian motion and to some families of stochastic …
processes. Our results apply to the Brownian motion and to some families of stochastic …