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

DOI10.3934/DCDSB.2020058MaRDI QIDQ2188138zbMATH OpenOpenAlexFDO

Authors Samuel Herrmann, Nicolas Massin

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

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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Cites work

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• Simulation of hitting times for Bessel processes with non-integer dimension
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Cited in

(4)

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

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