Numerical analysis of reflecting Brownian motion and a new model of semi-reflecting Brownian motion with some domains

zbMATH Open1183.60025MaRDI QIDQ3398960FDOQ3398960

Authors Shuya Kanagawa 

Publication date 29 September 2009

zbMATH Keywords

penalty methodEuler-Maruyama approximate solutionsemi-reflecting Brownian motion

Mathematics Subject Classification ID

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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Cited in

(4)

• Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance
• Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation
• 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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