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

Samuel Herrmann; Nicolas Massin

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arXiv · 1906.01255

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

Samuel Herrmann·Nicolas Massin

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Abstract

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 so-called Walk on Moving Spheres was already introduced in the Brownian context. The aim is therefore to generalize this numerical approach to the Ornstein-Uhlenbeck process and to describe the efficiency of the method.

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Samuel Herrmann, Nicolas Massin. 2019-06-04. Exit problem for Ornstein-Uhlenbeck processes: a random walk approach. https://arxiv.org/abs/1906.01255

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