SH
Samuel Herrmann
math.PRcs.NAmath.NA
On Valency
published · living versionsW_m9ce349k·v1 · currentpublished
Large deviations and a Kramers' type law for self-stabilizing diffusions
with Peter Imkeller, Dierk Peithmann
1 version
Preprints & journals
19 papers in the corpus · 2004–2021Exact simulation of the first passage time through a given level for jump diffusions2106.05560v2 · Samuel Herrmann (IMB), Nicolas Massin (IMB)2021 · 0 citationsMathematics and Computers in Simulation, 2022
Strong approximation of Bessel processes2106.00397v1 · Madalina Deaconu, Samuel Herrmann2021 · 1 citationarXiv
Strong approximation of particular one-dimensional diffusions2006.04378v2 · Madalina Deaconu (IECL, TOSCA), Samuel Herrmann (IMB)2020 · 0 citationsarXiv
Exact simulation of diffusion first exit times: algorithm acceleration2004.02313v1 · Samuel Herrmann, Cristina Zucca2020 · 2 citationsarXiv
Approximation of exit times for one-dimensional linear and growth diffusion processes1906.02969v2 · Samuel Herrmann (IMB), Nicolas Massin (IMB)2019 · 1 citationarXiv
Exit problem for Ornstein-Uhlenbeck processes: a random walk approach1906.01255v2 · Samuel Herrmann (IMB), Nicolas Massin (IMB)2019 · 5 citationsarXiv
Exact simulation of first exit times for one-dimensional diffusion processes1905.04883v1 · Samuel Herrmann (IMB), C. Zucca2019 · 12 citationsarXiv
Exact simulation of the first-passage time of diffusions1705.06881v1 · Samuel Herrmann (IMB), Cristina Zucca2017 · 23 citationsarXiv
Initial-Boundary Value Problem for the heat equation - A stochastic algorithm1610.03963v1 · Madalina Deaconu (TOSCA), Samuel Herrmann (IMB)2016 · 0 citationsarXiv
The first-passage time of the Brownian motion to a curved boundary: an algorithmic approach1501.07060v2 · Samuel Herrmann, Etienne Tanr'e2015 · 22 citationsarXiv
Mean-field limit versus small-noise limit for some interacting particle systems1409.1159v1 · Samuel Herrmann (IMB), Julian Tugaut (ICJ)2014 · 0 citationsarXiv
Simulation of hitting times for Bessel processes with non integer dimension1401.4843v1 · Madalina Deaconu, Samuel Herrmann2014 · 10 citationsarXiv
The walk on moving spheres: a new tool for simulating Brownian motion's exit time from a domain1401.3695v2 · Madalina Deaconu (TOSCA), Samuel Herrmann (IMB), Sylvain Maire (TOSCA et al.2014 · 16 citationsMathematics and Computers in Simulation, Elsevier, 2015
Statistics of transitions for Markov chains with periodic forcing1303.6617v1 · Samuel Herrmann (IMB), Damien Landon (IMB)2013 · 5 citationsarXiv
Persistent random walks, variable length Markov chains and piecewise deterministic Markov processes1208.3358v1 · Peggy C'enac, Brigitte Chauvin, Samuel Herrmann et al.2012 · 12 citationsarXiv
Hitting time for Bessel processes - walk on moving spheres algorithm (WoMS)1111.3736v2 · Madalina Deaconu, Samuel Herrmann2011 · 33 citationsAnnals of Applied Probability 2013, Vol. 23, No. 6, 2259-2289
From persistent random walks to the telegraph noise0810.0650v1 · Samuel Herrmann (IECN), Pierre Vallois (IECN)2008 · 0 citationsarXiv
Large deviations and a Kramers' type law for self-stabilizing diffusionsmath/0605053v2 · Samuel Herrmann, Peter Imkeller, Dierk Peithmann2006 · 66 citationsAnnals of Applied Probability 2008, Vol. 18, No. 4, 1379-1423on Valency
Transition times and stochastic resonance for multidimensional diffusions with time periodic drift: A large deviations approachmath/0411386v2 · Samuel Herrmann, Peter Imkeller, Dierk Peithmann2004 · 7 citationsAnnals of Applied Probability 2006, Vol. 16, No. 4, 1851-1892
Career total: 73 works. 19 are in this corpus.
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