@article{herrmann:hal-02570881, TITLE = {{Exact simulation of first exit times for one-dimensional diffusion processes}}, AUTHOR = {Herrmann, Samuel and Zucca, Cristina}, URL = {https://u-bourgogne.hal.science/hal-02570881}, JOURNAL = {{ESAIM: Mathematical Modelling and Numerical Analysis}}, PUBLISHER = {{EDP Sciences}}, VOLUME = {54}, NUMBER = {3}, PAGES = {811-844}, YEAR = {2020}, MONTH = May, DOI = {10.1051/m2an/2019077}, KEYWORDS = {Exit time ; Brownian motion ; diffusion processes ; Girsanov's transformation ; rejection sampling ; exact simulation ; randomized algorithm ; conditioned Brownian motion}, HAL_ID = {hal-02570881}, HAL_VERSION = {v1}, }