Numerical simulation of multi dimensional reflecting geometrical Brownian motion and its application to mathematical finance

DOI10.1016/j.na.2005.02.076zbMath1224.91181OpenAlexW1976094747MaRDI QIDQ1000032

Akio Arimoto, Shuya Kanagawa, Yasumasa Saisho

Publication date: 4 February 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2005.02.076

zbMATH Keywords

stochastic differential equationMonte Carlo simulationreflecting Brownian motionEuler-Maruyama scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Stochastic differential equations for multi-dimensional domain with reflecting boundary
• On the symmetry of a reflecting Brownian motion defined by Skorohod's equation for a multi-dimensional domain
• Stochastic differential equations with reflecting boundary condition in convex regions
• Approximations for stochastic differential equations with reflecting convex boundaries
• Stochastic differential equations with reflecting boundary conditions
• Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation
• Unnamed Item