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Article Dans Une Revue Computers & Mathematics with Applications Année : 2020

Approximation of exit times for one-dimensional linear diffusion processes

Résumé

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 the Ornstein-Uhlenbeck context, that is for particular time-homogeneous diffusion processes. 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 a general linear diffusion. The main challenge of such a generalization is to handle with time-inhomogeneous diffusions. The efficiency of the method is described with particular care through theoretical results and numerical examples.
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hal-03035854 , version 1 (23-08-2022)

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Paternité - Pas d'utilisation commerciale

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Samuel Herrmann, Nicolas Massin. Approximation of exit times for one-dimensional linear diffusion processes. Computers & Mathematics with Applications, 2020, 80 (6), pp.1668-1682. ⟨10.1016/j.camwa.2020.07.023⟩. ⟨hal-03035854⟩
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