Discretization error in simulation of one-dimensional reflecting Brownian motion
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.
scientific article; zbMATH DE number 898160