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Exact Simulation of the First-Passage Time of Diffusions
Samuel Herrmann
,
Cristina Zucca
Article dans une revue
hal-02173732v1
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Approximation of exit times for one-dimensional linear diffusion processes
Samuel Herrmann
,
Nicolas Massin
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
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
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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
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
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
Article dans une revue
hal-00636056v2
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Exit problem for Ornstein-Uhlenbeck processes: A random walk approach
Samuel Herrmann
,
Nicolas Massin
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
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
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The first-passage time of the Brownian motion to a curved boundary: an algorithmic approach
Samuel Herrmann
,
Etienne Tanré
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
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Exact simulation of first exit times for one-dimensional diffusion processes
Samuel Herrmann
,
Cristina Zucca
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
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