67 citations · 163 across the 20 of their papers we have counts for
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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…
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…
Exact simulation of diffusion first exit times: algorithm acceleration
Samuel Herrmann, Cristina Zucca
In order to describe or estimate different quantities related to a specific random variable, it is of prime interest to numerically generate such a variate. In specific situations,…
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…
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…