Approximate solution of reflecting Brownian motion using penalty method and numerical application to imperfect elastic barrier

S. Kanagawa, Y. Saisho, H. Uesu

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

We investigate the error of the Euler-Maruyama approximate solution of reflecting Brownian motion using the penalty method. The approximate solution is constructed from not only i.i.d. random variables but also dependent sequence of random variables, e.g. Gaussian sequence, mixing sequence, etc. Further we show some numerical applications.

Original languageEnglish
Pages (from-to)287-299
Number of pages13
JournalDynamic Systems and Applications
Volume15
Issue number2
Publication statusPublished - 2006 Jun
Externally publishedYes

Keywords

  • Euler-Maruyama approximation
  • Imperfect elastic barrier
  • Monte Carlo simulation
  • Pseudo-random numbers
  • Reflecting Brownian motion
  • Stochastic differential equation

ASJC Scopus subject areas

  • Engineering(all)
  • Mathematics(all)

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