34 citations · 51 across the 13 of their papers we have counts for
8 papers · 1 filter
Strong approximation of Bessel processes
Madalina Deaconu, Samuel Herrmann
We consider the path approximation of Bessel processes and develop a new and efficient algorithm. This study is based on a recent work by the authors, on the path approximation of…
Strong approximation of particular one-dimensional diffusions
Madalina Deaconu, Samuel Herrmann
This paper develops a new technique for the path approximation of one-dimensional stochastic processes, more precisely the Brownian motion and families of stochastic differential e…
Initial-Boundary Value Problem for the heat equation - A stochastic algorithm
Madalina Deaconu, Samuel Herrmann
The Initial-Boundary Value Problem for the heat equation is solved by using a new algorithm based on a random walk on heat balls. Even if it represents a sophisticated generalizati…
Stochastic equation of fragmentation and branching processes related to avalanches
Lucian Beznea, Madalina Deaconu, Oana Lupascu
We give a stochastic model for the fragmentation phase of a snow avalanche. We construct a fragmentation-branching process related to the avalanches, on the set of all fragmentatio…
Simulation of hitting times for Bessel processes with non integer dimension
Madalina Deaconu, Samuel Herrmann
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 app…
The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain
Madalina Deaconu, Samuel Herrmann, Sylvain Maire
In this paper we introduce a new method for the simulation of the exit time and position of a -dimensional Brownian motion from a domain. The main interest of our method is that…