American Institute of Mathematical Sciences

2005, 2005(Special): 463-475. doi: 10.3934/proc.2005.2005.463

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

 1 Department of Mathematics, Faculty of Engineering, Musashi Institute of Technology, Tokyo, 158-8557, Japan 2 Department of Mathematics, Faculty of Engineering, Musashi Institute of Technology, Tokyo 158-8557, Japan, Japan 3 Applied Mathematics Research Group, Graduate School of Engineering, Hiroshima 739-8527, Japan

Received  September 2004 Revised  June 2005 Published  September 2005

We investigate the mean square error of the Euler-Maruyama type approximate solution of multi dimensional reflecting fractional Brownian motion using the penalty method. Furthermore we show some examples of the reflecting fractional Brownian motion with several boundaries.
Citation: S. Kanagawa, K. Inoue, A. Arimoto, Y. Saisho. Mean square approximation of multi dimensional reflecting fractional Brownian motion via penalty method. Conference Publications, 2005, 2005 (Special) : 463-475. doi: 10.3934/proc.2005.2005.463
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