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Approximation of exit times for one-dimensional linear and growth diffusion processes

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 نشر من قبل Samuel Herrmann
 تاريخ النشر 2019
  مجال البحث
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 تأليف Samuel Herrmann




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In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorithm based on a random walk. Such an algorithm was already introduced in both the Brownian context and in the Ornstein-Uhlenbeck context. Here the aim is therefore to generalize this efficient numerical approach in order to obtain an approximation of both the exit time and position for either a general linear diffusion or a growth diffusion. The efficiency of the method is described with particular care through theoretical results and numerical examples.



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