Discretization error in simulation of one-dimensional reflecting Brownian motion
type: Item
instance of: scholarly article
title: Discretization error in simulation of one-dimensional reflecting Brownian motion
zbMATH Open document ID: 0853.65147
author: Peter W. Glynn
author: Søren Asmussen
author: Jim Pitman
published in: The Annals of Applied Probability
publication date: 1996-07-08T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 65C99
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 898160
zbMATH Keywords: Bessel bridge
zbMATH Keywords: Bessel process
zbMATH Keywords: bias
zbMATH Keywords: excursion
zbMATH Keywords: path decomposition
zbMATH Keywords: Riemann zeta function
zbMATH Keywords: Spitzer's identity
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: Euler scheme
zbMATH Keywords: Brownian motion
reviewed by: Radu Theodorescu
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1177004597
OpenAlex ID: W1994633475
Wikidata QID: Q56906949
DOI: 10.1214/AOAP/1177004597
description: scientific article; zbMATH DE number 898160