Mean square approximation of multi dimensional reflecting fractional Brownian motion via penalty method

zbMath1146.60317MaRDI QIDQ934440

B. E. Eshmatov

Publication date: 29 July 2008

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationMonte Carlo simulationEuler-Maryama schemereflecting fractional Brownian motions

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

This page was built for publication: Mean square approximation of multi dimensional reflecting fractional Brownian motion via penalty method