### 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 |

### Fingerprint

### 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

*Dynamic Systems and Applications*,

*15*(2), 287-299.

**Approximate solution of reflecting Brownian motion using penalty method and numerical application to imperfect elastic barrier.** / Kanagawa, S.; Saisho, Y.; Uesu, H.

Research output: Contribution to journal › Article

*Dynamic Systems and Applications*, vol. 15, no. 2, pp. 287-299.

}

TY - JOUR

T1 - Approximate solution of reflecting Brownian motion using penalty method and numerical application to imperfect elastic barrier

AU - Kanagawa, S.

AU - Saisho, Y.

AU - Uesu, H.

PY - 2006/6

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

UR - http://www.scopus.com/inward/record.url?scp=33646367188&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=33646367188&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:33646367188

VL - 15

SP - 287

EP - 299

JO - Dynamic Systems and Applications

JF - Dynamic Systems and Applications

SN - 1056-2176

IS - 2

ER -