Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation
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Publication:4504226
DOI10.1515/mcma.2000.6.2.105zbMath0963.65005MaRDI 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 examples; Brownian motion; stochastic differential equations; Monte Carlo methods; penalty method; Skorohod equation
65C05: Monte Carlo methods
60J65: Brownian motion
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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