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- W4300705417 abstract "In this paper we introduce a new method for the simulation of the exit time and position of a $delta$-dimensional Brownian motion from a domain. The main interest of our method is that it avoids splitting time schemes as well as inversion of complicated series. The idea is to use the connexion between the $delta$-dimensional Bessel process and the $delta$-dimensional Brownian motion thanks to an explicit Bessel hitting time distribution associated with a particular curved boundary. This allows to build a fast and accurate numerical scheme for approximating the hitting time. Numerical comparisons with existing methods are performed." @default.
- W4300705417 created "2022-10-04" @default.
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- W4300705417 date "2013-07-15" @default.
- W4300705417 modified "2023-10-18" @default.
- W4300705417 title "The walk on moving spheres: A new tool for simulating Brownian motion’s exit time from a domain" @default.
- W4300705417 hasPublicationYear "2013" @default.
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