NUMERICAL ANALYSIS OF REFLECTING BROWNIAN MOTION AND A NEW MODEL OF SEMI-REFLECTING BROWNIAN MOTION WITH SOME DOMAINS

TitleNUMERICAL ANALYSIS OF REFLECTING BROWNIAN MOTION AND A NEW MODEL OF SEMI-REFLECTING BROWNIAN MOTION WITH SOME DOMAINS
Publication TypeJournal Article
Year of Publication2009
AuthorsKANAGAWA, SHUYA
Secondary TitleCommunications in Applied Analysis
Volume13
Issue2
Start Page231
Pagination244
Date Published04/2009
Type of Workscientific: mathematics
AMS60G50, 60H10, 65C30
Abstract
We investigate the error of the Euler-Maruyama approximate solution of the multidimensional reflecting Brownian motion and semi-reflecting Brownian motion using the penalty method and show their numerical simulations. Furthermore we consider a new model of semi-reflecting Brownian motion with some domains.
URLhttp://www.acadsol.eu/en/articles/13/2/6.pdf
Short TitleREFLECTING BROWNIAN MOTION
Refereed DesignationRefereed
Full Text

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