### 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 |
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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)

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## Cite this

Kanagawa, S., Saisho, Y., & Uesu, H. (2006). Approximate solution of reflecting Brownian motion using penalty method and numerical application to imperfect elastic barrier.

*Dynamic Systems and Applications*,*15*(2), 287-299.