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

DOI10.3934/DCDSB.2020058OpenAlexW2948994165MaRDI QIDQ2188138FDOQ2188138

Nicolas Massin, Samuel Herrmann

Publication date: 4 June 2020

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.01255

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• scientific article; zbMATH DE number 1740403

zbMATH Keywords

Ornstein-Uhlenbeck processesexit timegeneralized spheroidsWOMS algorithm

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales and classical analysis (60G46)

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• Some Continuous Monte Carlo Methods for the Dirichlet Problem
• Joint Densities of First Hitting Times of a Diffusion Process Through Two Time-Dependent Boundaries
• Some evaluations for continuous Monte Carlo method by using Brownian hitting process
• Pricing general barrier options: a numerical approach using sharp large deviations
• Simulation of hitting times for Bessel processes with non-integer dimension

Cited In (4)

• Exit problem for Ornstein-Uhlenbeck processes: a random walk approach
• Mean exit time and escape probability for the Ornstein–Uhlenbeck process
• Approximation of exit times for one-dimensional linear diffusion processes
• Exact solutions of the two-side exit time problems for the Vasicek model

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