Numerical analysis of reflecting Brownian motion and a new model of semi-reflecting Brownian motion with some domains
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Publication:3398960
zbMATH Open1183.60025MaRDI QIDQ3398960FDOQ3398960
Authors: Shuya Kanagawa 
Publication date: 29 September 2009
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Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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- Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation
- Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance
- A stochastic approach for elliptic problems in perforated domains
- Mean square approximation of multi dimensional reflecting fractional Brownian motion via penalty method
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