Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation
DOI10.1515/mcma.2000.6.2.105zbMath0963.65005OpenAlexW2140314481MaRDI QIDQ4504226
Shuya Kanagawa, Yasumasa Saisho
Publication date: 19 June 2001
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma.2000.6.2.105
numerical examplesBrownian motionstochastic differential equationsMonte Carlo methodspenalty methodSkorohod equation
Monte Carlo methods (65C05) Brownian motion (60J65) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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