• Corpus ID: 235265713

Strong approximation of Bessel processes

@article{Deaconu2021StrongAO,
  title={Strong approximation of Bessel processes},
  author={Madalina Deaconu and Samuel Herrmann},
  journal={ArXiv},
  year={2021},
  volume={abs/2106.00397}
}
We consider the path approximation of Bessel processes and develop a new and efficient algorithm. This study is based on a recent work by the authors, on the path approximation of the Brownian motion, and on the construction of specific own techniques. It is part of the family of the so-called ε-strong approximations. More precisely, our approach constructs jointly the sequences of exit times and corresponding exit positions of some well-chosen domains, the construction of these domains being… 

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