exitbm: a library for simulating Brownian motion's exit times and positions from simple domains

Antoine Lejay 1, 2
2 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
Abstract : This C library aims at computing and simulating various quantities and random variables related to where and when a the Brownian motion hit the boundary of an interval, a square or a rectangle. We present here the algorithms used in this library.
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https://hal.inria.fr/inria-00561409
Contributor : Antoine Lejay <>
Submitted on : Wednesday, February 2, 2011 - 2:46:59 PM
Last modification on : Monday, October 22, 2018 - 8:04:51 PM
Long-term archiving on: Thursday, March 30, 2017 - 6:14:40 AM

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Antoine Lejay. exitbm: a library for simulating Brownian motion's exit times and positions from simple domains. [Technical Report] RT-0402, INRIA. 2011, pp.26. ⟨inria-00561409v2⟩

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