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Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation

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  • Kanagawa S.
  • Saisho Y.

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  • Kanagawa S. & Saisho Y., 2000. "Strong Approximation of Reflecting Brownian Motion Using Penalty Method and its Application to Cumputer Simulation," Monte Carlo Methods and Applications, De Gruyter, vol. 6(2), pages 105-114, December.
    • Handle: RePEc:bpj:mcmeap:v:6:y:2000:i:2:p:105-114:n:1
    DOI: 10.1515/mcma.2000.6.2.105
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    References listed on IDEAS

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    1. Slominski, Leszek, 1994. "On approximation of solutions of multidimensional SDE's with reflecting boundary conditions," Stochastic Processes and their Applications, Elsevier, vol. 50(2), pages 197-219, April.
    2. Pettersson, Roger, 1995. "Approximations for stochastic differential equations with reflecting convex boundaries," Stochastic Processes and their Applications, Elsevier, vol. 59(2), pages 295-308, October.
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    Cited by:

    1. Yang Xuewei, 2013. "A new numerical scheme for a class of reflected stochastic differential equations," Monte Carlo Methods and Applications, De Gruyter, vol. 19(4), pages 273-279, December.
    2. Słomiński, Leszek, 2013. "Weak and strong approximations of reflected diffusions via penalization methods," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 752-763.

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