34 citations · 51 across the 13 of their papers we have counts for
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math.PR2014★ 1 cited
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…
math.PR2014★ 1 cited
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…