Laboratoire de Mathématiques de Besançon - UMR 6623 CNRS

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1er février 2019: 1 événement

  • Séminaires doctorant

    Vendredi 1er février 15:00-16:00 - Nicolas Massin - Institut mathématiques de Bourgogne

    Séminaires doctorant : About hitting times

    Résumé :
    In this talk, i will define what we usually call hitting times or exit times and
    explain some ways we have to approximate them. I will start by making a
    short definition/recall of what we call a Brownian motion and explain how we
    simulate an approximation of its exit time from an interval with the WOMS
    algorithm. I will study this algorithm and show its efficiency compared to clas-
    sical algorithms. Then I will explain how we can from that create an algorithm
    to simulate the exit time from an interval for Ornstein-Uhlenbeck processes and
    the similarities and differences appearing in that case. Then I will take the
    more general case of what we call L-diffusion class and G-diffusion class and
    once again create an algorithm to simulate their exit time from an interval.

    Lieu : 324-2B

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