The walk on moving spheres: A new tool for simulating Brownian motion’s exit time from a domain

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• 作者：M. Deaconu^a ; ^b ; ^{Madalina.Deaconu@inria.fr} ; S. Herrmann^c ; ^{Samuel.Herrmann@u-bourgogne.fr} ; S. Maire^d ; ^e ; ^{maire@univ-tln.fr}
• 关键词：Walk on moving spheres method ; Bessel processes ; Brownian hitting time ; Numerical algorithm
• 刊名：Mathematics and Computers in Simulation
• 出版年：2017
• 出版时间：May 2017
• 年：2017
• 卷：135
• 期：Complete
• 页码：28-38
• 全文大小：272 K
• 卷排序：135

文摘

In this paper we introduce a new method for the simulation of the exit time and exit position of a δδ-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 method, called walk on moving spheres algorithm, was first introduced for hitting times of Bessel processes. In this study this method is adapted and developed for the first time for the Brownian motion hitting times. The idea is to use the connexion between the δδ-dimensional Bessel process and the δδ-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. We introduce also an overview of existing methods for the simulation of the Brownian hitting time and perform numerical comparisons with existing methods.