Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation (Q4504226)
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scientific article; zbMATH DE number 1507592
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation |
scientific article; zbMATH DE number 1507592 |
Statements
Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation (English)
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19 June 2001
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Monte Carlo methods
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Brownian motion
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stochastic differential equations
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numerical examples
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Skorohod equation
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penalty method
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