Discretization error in simulation of one-dimensional reflecting Brownian motion (Q1916474)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Discretization error in simulation of one-dimensional reflecting Brownian motion |
scientific article; zbMATH DE number 898160
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discretization error in simulation of one-dimensional reflecting Brownian motion |
scientific article; zbMATH DE number 898160 |
Statements
Discretization error in simulation of one-dimensional reflecting Brownian motion (English)
0 references
8 July 1996
0 references
It is shown that the discretization error associated with the Euler scheme for simulation of one-dimensional reflected Brownian motion has both a strong and weak order of convergence of precisely 1/2. The asymptotic distribution of the discretization error is also described. Finally, a number of improved approximations to the simulation of reflected Brownian motion are provided.
0 references
Bessel bridge
0 references
Bessel process
0 references
bias
0 references
excursion
0 references
path decomposition
0 references
Riemann zeta function
0 references
Spitzer's identity
0 references
stochastic differential equation
0 references
Euler scheme
0 references
Brownian motion
0 references
