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

DOI10.3150/16-BEJ866MaRDI QIDQ2405172zbMATH OpenOpenAlexFDO

Authors Madalina Deaconu, Samuel Herrmann

Publication date 21 September 2017

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.4843, https://projecteuclid.org/euclid.bj/1495505108

zbMATH Keywords

hitting timenumerical algorithmBessel processes with non-integer dimension

Mathematics Subject Classification ID

Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40)

Abstract: In this paper we pursue and complete the study of the simulation of the hitting time of some given boundaries for Bessel processes. These problems are of great interest in many application fields as finance and neurosciences. In a previous work, the authors introduced a new method for the simulation of hitting times for Bessel processes with integer dimension. The method was based mainly on the explicit formula for the distribution of the hitting time and on the connexion between the Bessel process and the Euclidean norm of the Brownian motion. This method does not apply anymore for a non integer dimension. In this paper we consider the simulation of the hitting time of Bessel processes with non integer dimension and provide a new algorithm by using the additivity property of the laws of squared Bessel processes. We split each simulation step in two parts: one is using the integer dimension case and the other one considers hitting time of a Bessel process starting from zero.

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Cited in

(9)

• Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion
• Numerical determination of hitting time distributions from their Laplace transforms: simple cases
• Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS)
• Approximation of exit times for one-dimensional linear diffusion processes
• Initial-boundary value problem for the heat equation -- a stochastic algorithm
• Strong approximation of Bessel processes
• Approximating exit times of continuous Markov processes
• Exit problem for Ornstein-Uhlenbeck processes: a random walk approach
• Strong approximation of some particular one-dimensional diffusions

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