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About hitting times

publié le

Nicolas Massin
(Institut mathématiques de Bourgogne)

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.