Approximate solution of reflecting Brownian motion using penalty method and numerical application to imperfect elastic barrier

Dynamic Systems and Applications

Volumn 15, Issue 2, 2006, Pages 287-299

  Kanagawa, S ^a   Saisho, Y ^a   Uesu, H ^a  

^a NONE

Author keywords

Euler Maruyama approximation; Imperfect elastic barrier; Monte Carlo simulation; Pseudo random numbers; Reflecting Brownian motion; Stochastic differential equation

Indexed keywords

EID: 33646367188     PISSN: 10562176     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (17)

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