Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS)

DOI10.1214/12-AAP900zbMath1298.65018arXiv1111.3736OpenAlexW2073330760MaRDI QIDQ389064

Samuel Herrmann, Madalina Deaconu

Publication date: 17 January 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.3736

zbMATH Keywords

algorithmnumerical exampleBrownian motionBessel processeshitting timemethod of imageCox-Ingersoll-Ross processes

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Brownian motion (60J65) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (15)

Lie symmetries methods in boundary crossing problems for diffusion processes ⋮ On an approach to boundary crossing by stochastic processes ⋮ Walk on spheres algorithm for Helmholtz and Yukawa equations via Duffin correspondence ⋮ Initial-boundary value problem for the heat equation -- a stochastic algorithm ⋮ Efficient discretisation of stochastic differential equations ⋮ Strong approximation of some particular one-dimensional diffusions ⋮ Strong approximation of Bessel processes ⋮ Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps ⋮ The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain ⋮ Efficient simulation of the Schrödinger equation with a piecewise constant positive potential ⋮ Invariance formulas for stopping times of squared Bessel process ⋮ First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses ⋮ Elements related to the largest complete excursion of a reflected BM stopped at a fixed time. Application to local score ⋮ Approximating exit times of continuous Markov processes ⋮ An integral equation for Root's barrier and the generation of Brownian increments

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