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

S. Kanagawa; Y. Saisho; H. Uesu

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 journal › Article › peer-review

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 language	English
Pages (from-to)	287-299
Number of pages	13
Journal	Dynamic Systems and Applications
Volume	15
Issue number	2
Publication status	Published - 2006 Jun
Externally published	Yes

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)

Cite this

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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.",

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AU - Kanagawa, S.

AU - Saisho, Y.

AU - Uesu, H.

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Y1 - 2006/6

N2 - 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.

AB - 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.

KW - Euler-Maruyama approximation

KW - Imperfect elastic barrier

KW - Monte Carlo simulation

KW - Pseudo-random numbers

KW - Reflecting Brownian motion

KW - Stochastic differential equation

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

Abstract

Keywords

ASJC Scopus subject areas

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