Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance (Q1000032): Difference between revisions

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+https://doi.org/10.1016/j.na.2005.02.076
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+W1976094747
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+Q3603792
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@@ Property / cites work @@
+Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation
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@@ Property / cites work @@
+Stochastic differential equations with reflecting boundary conditions
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+Approximations for stochastic differential equations with reflecting convex boundaries
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+Stochastic differential equations for multi-dimensional domain with reflecting boundary
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+On the symmetry of a reflecting Brownian motion defined by Skorohod's equation for a multi-dimensional domain
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+Stochastic differential equations with reflecting boundary condition in convex regions
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