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
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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 -