Samuel Herrmann

According to our database, Samuel Herrmann authored at least 7 papers between 2016 and 2023.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of six.

2023

Exact simulation of the first passage time through a given level of jump diffusions.

Samuel Herrmann, Nicolas Massin

Math. Comput. Simul., 2023

2022

Exact simulation of diffusion first exit times: algorithm acceleration.

Samuel Herrmann, Cristina Zucca

J. Mach. Learn. Res., 2022

2021

Strong approximation of Bessel processes.

Madalina Deaconu, Samuel Herrmann

CoRR, 2021

2020

Approximation of exit times for one-dimensional linear diffusion processes.

Samuel Herrmann, Nicolas Massin

Comput. Math. Appl., 2020

2019

Exact Simulation of the First-Passage Time of Diffusions.

Samuel Herrmann, Cristina Zucca

J. Sci. Comput., 2019

2017

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

Madalina Deaconu, Samuel Herrmann, Sylvain Maire

Math. Comput. Simul., 2017

2016

The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach.

Samuel Herrmann, Etienne Tanré

SIAM J. Sci. Comput., 2016