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Auteur : personID (entier) : 912851

Exact Simulation of the First-Passage Time of Diffusions

Samuel Herrmann , Cristina Zucca
Journal of Scientific Computing, 2019, 79 (3), pp.1477-1504. ⟨10.1007/s10915-018-00900-3⟩
Article dans une revue hal-02173732v1
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Approximation of exit times for one-dimensional linear diffusion processes

Samuel Herrmann , Nicolas Massin
Computers & Mathematics with Applications, 2020, 80 (6), pp.1668-1682. ⟨10.1016/j.camwa.2020.07.023⟩
Article dans une revue hal-03035854v1
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Simulation of hitting times for Bessel processes with non-integer dimension

Madalina Deaconu , Samuel Herrmann
Bernoulli, 2017, 23 (4B), pp.3744 - 3771. ⟨10.3150/16-BEJ866⟩
Article dans une revue hal-00933198v2
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Strong approximation of particular one-dimensional diffusions

Madalina Deaconu , Samuel Herrmann
2021
Pré-publication, Document de travail hal-02799638v3

Exact simulation of diffusion first exit times: algorithm acceleration

Samuel Herrmann , Cristina Zucca
Journal of Machine Learning Research, 2022, 23 (138), pp.1-20
Article dans une revue hal-03945353v1
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Exact simulation of the first passage time through a given level for jump diffusions

Samuel Herrmann , Nicolas Massin
Mathematics and Computers in Simulation, 2022, pp.553-576. ⟨10.1016/j.matcom.2022.07.007⟩
Article dans une revue hal-03254506v2
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Approximation of exit times for one-dimensional linear and growth diffusion processes

Samuel Herrmann , Nicolas Massin
2019
Pré-publication, Document de travail hal-02147874v2
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The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain

Madalina Deaconu , Samuel Herrmann , Sylvain Maire
9th IMACS Seminar on Monte Carlo Methods (MCM), Jul 2013, Annecy le Vieux, France. pp.28-38, ⟨10.1016/j.matcom.2015.07.004⟩
Communication dans un congrès hal-00931816v2
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Hitting time for Bessel processes - walk on moving spheres algorithm (WoMS)

Madalina Deaconu , Samuel Herrmann
Annals of Applied Probability, 2013, 23 (6), pp.2259-2289. ⟨10.1214/12-AAP900⟩
Article dans une revue hal-00636056v2

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

Samuel Herrmann , Nicolas Massin
Discrete and Continuous Dynamical Systems - Series B, 2020, 25 (8), pp.3199-3215. ⟨10.3934/dcdsb.2020058⟩
Article dans une revue hal-03026241v1
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Initial-boundary value problem for the heat equation - A stochastic algorithm

Madalina Deaconu , Samuel Herrmann
Annals of Applied Probability, 2018, 28 (3), pp.1943-1976. ⟨10.1214/17-AAP1348⟩
Article dans une revue hal-01380365v1
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Mean-field limit versus small-noise limit for some interacting particle systems

Samuel Herrmann , Julian Tugaut
Communications on Stochastic Analysis, 2016, 10 (1), pp.39-55
Article dans une revue hal-01060199v2

The first-passage time of the Brownian motion to a curved boundary: an algorithmic approach

Samuel Herrmann , Etienne Tanré
SIAM Journal on Scientific Computing, 2016, 38 (1), pp.A196-A215. ⟨10.1137/151006172⟩
Article dans une revue hal-01110387v1
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Exit problem for Ornstein-Uhlenbeck processes: a random walk approach

Samuel Herrmann , Nicolas Massin
2019
Pré-publication, Document de travail hal-02143409v2
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Exact simulation of diffusion first exit times: algorithm acceleration

Samuel Herrmann , Cristina Zucca
2020
Pré-publication, Document de travail hal-02496227v1
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Statistics of transitions for Markov chains with periodic forcing

Samuel Herrmann , Damien Landon
2013
Pré-publication, Document de travail hal-00804847v2
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Exact simulation of the first-passage time of diffusions

Samuel Herrmann , Cristina Zucca
2017
Pré-publication, Document de travail hal-01524814v1
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Exact simulation of first exit times for one-dimensional diffusion processes

Samuel Herrmann , C. Zucca
2019
Pré-publication, Document de travail hal-02123381v1

Exact simulation of first exit times for one-dimensional diffusion processes

Samuel Herrmann , Cristina Zucca
ESAIM: Mathematical Modelling and Numerical Analysis, 2020, 54 (3), pp.811-844. ⟨10.1051/m2an/2019077⟩
Article dans une revue hal-02570881v1
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Persistent random walks, variable length Markov chains and piecewise deterministic Markov processes

Peggy Cenac , Brigitte Chauvin , Samuel Herrmann , Pierre P. Vallois
2012
Autre publication scientifique hal-00719450v2
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Strong approximation of Bessel processes

Madalina Deaconu , Samuel Herrmann
Methodology and Computing in Applied Probability, In press
Article dans une revue hal-03244538v1