2 citations · 2 across the 3 of their papers we have counts for
3 papers
math.PR2021
Exact simulation of the first passage time through a given level for jump diffusions
Samuel Herrmann, Nicolas Massin
Continuous-time stochastic processes play an important role in the description of random phenomena, it is therefore of prime interest to study particular variables depending on the…
math.PR2019★ 2 cited
Approximation of exit times for one-dimensional linear and growth diffusion processes
Samuel Herrmann, Nicolas Massin
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 B…
math.PR2019
Exit problem for Ornstein-Uhlenbeck processes: a random walk approach
Samuel Herrmann, Nicolas Massin
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 so-called Walk on Moving Spheres was…