Title | NUMERICAL ANALYSIS OF REFLECTING BROWNIAN MOTION AND A NEW MODEL OF SEMI-REFLECTING BROWNIAN MOTION WITH SOME DOMAINS |
Publication Type | Journal Article |
Year of Publication | 2009 |
Authors | KANAGAWA, SHUYA |
Secondary Title | Communications in Applied Analysis |
Volume | 13 |
Issue | 2 |
Start Page | 231 |
Pagination | 244 |
Date Published | 04/2009 |
Type of Work | scientific: mathematics |
AMS | 60G50, 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.
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URL | http://www.acadsol.eu/en/articles/13/2/6.pdf |
Short Title | REFLECTING BROWNIAN MOTION |
Refereed Designation | Refereed |
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