The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach. - Samuel Herrmann; Etienne Tanré (SIAM J. Sci. Comput., 2016)

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)

Exact Simulation of the First-Passage Time of Diffusions. - Samuel Herrmann; Cristina Zucca (J. Sci. Comput., 2019)

Approximation of exit times for one-dimensional linear diffusion processes. - Samuel Herrmann; Nicolas Massin (Comput. Math. Appl., 2020)

Strong approximation of Bessel processes. - Madalina Deaconu; Samuel Herrmann (CoRR, 2021)

Exact simulation of diffusion first exit times: algorithm acceleration. - Samuel Herrmann; Cristina Zucca (J. Mach. Learn. Res., 2022)

Exact simulation of the first passage time through a given level of jump diffusions. - Samuel Herrmann; Nicolas Massin (Math. Comput. Simul., 2023)