Discretization error in simulation of one-dimensional reflecting Brownian motion (Q1916474)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discretization error in simulation of one-dimensional reflecting Brownian motion |
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Discretization error in simulation of one-dimensional reflecting Brownian motion (English)
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8 July 1996
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It is shown that the discretization error associated with the Euler scheme for simulation of one-dimensional reflected Brownian motion has both a strong and weak order of convergence of precisely 1/2. The asymptotic distribution of the discretization error is also described. Finally, a number of improved approximations to the simulation of reflected Brownian motion are provided.
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Bessel bridge
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Bessel process
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bias
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excursion
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path decomposition
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Riemann zeta function
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Spitzer's identity
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stochastic differential equation
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Euler scheme
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Brownian motion
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