Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance
DOI10.1016/J.NA.2005.02.076zbMATH Open1224.91181OpenAlexW1976094747MaRDI QIDQ1000032FDOQ1000032
Authors: Shuya Kanagawa, Akio Arimoto, Yasumasa Saisho 
Publication date: 4 February 2009
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.na.2005.02.076
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Cites Work
- Stochastic differential equations with reflecting boundary condition in convex regions
- Stochastic differential equations with reflecting boundary conditions
- On the symmetry of a reflecting Brownian motion defined by Skorohod's equation for a multi-dimensional domain
- Approximations for stochastic differential equations with reflecting convex boundaries
- Stochastic differential equations for multi-dimensional domain with reflecting boundary
- Title not available (Why is that?)
- Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation
Cited In (4)
- Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation
- Numerical analysis of reflecting Brownian motion and a new model of semi-reflecting Brownian motion with some domains
- Mean square approximation of multi dimensional reflecting fractional Brownian motion via penalty method
- Simulation of stochastic differential equation of geometric Brownian motion by quasi-Monte Carlo method and its application in prediction of total index of stock market and value at risk
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