Search results for "Temps d'atteinte"

First hitting time for a diffusion

2021

In this thesis, we focus our attention on the generation of the first exit time or the first passage time for diffusions in a one-dimensional context.In the first chapter, we present already well-known methods in order to generate such random variables. We particularly introduce the WOMS algorithm. This algorithm permits the generation of an approximation of the time needed by the Brownian motion in order to exit from a given interval.In the second and third chapters, we explain how to extend the previous algorithm in order to deal with diffusions strongly linked to the one-dimensional Brownian motion. We first consider the Ornstein-Uhlenbeck process, and then we consider a wide class of di…