Simulation of reflected Brownian motion on two dimensional wedges

DOI10.1016/j.spa.2022.11.011zbMath1502.60111arXiv2107.02171OpenAlexW3179919795MaRDI QIDQ2680400

Arturo Kohatsu-Higa, Pierre Bras

Publication date: 2 January 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.02171

zbMATH Keywords

method of imagesMonte Carlo simulationhitting timeswedgereflection principlereflected Brownian motion

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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