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

DOI10.1214/12-AAP900zbMATH Open1298.65018arXiv1111.3736OpenAlexW2073330760MaRDI QIDQ389064FDOQ389064

Authors: Madalina Deaconu, Samuel Herrmann 

Publication date: 17 January 2014

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

Abstract: In this article we investigate the hitting time of some given boundaries for Bessel processes. The main motivation comes from mathematical finance when dealing with volatility models, but the results can also be used in optimal control problems. The aim here is to construct a new and efficient algorithm in order to approach this hitting time. As an application we will consider the hitting time of a given level for the Cox-Ingersoll-Ross process. The main tools we use are on one side, an adaptation of the method of images to this particular situation and on the other side, the connection that exists between Cox-Ingersoll-Ross processes and Bessel processes.

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

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zbMATH Keywords

algorithmBrownian motionhitting timenumerical exampleBessel processesmethod of imageCox-Ingersoll-Ross processes

Mathematics Subject Classification ID

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

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Cited In (17)

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

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