Apr 2022-

Math-Fi seminar on 28 Apr.

2022.04.27 Wed up
  • Date: 28 Apr. (Thu.)
  • Place: On the Web
  • Time: 17:00-18:30
  • Speaker:  Arturo Kohatsu-Higa (Ritsumeikan University)
  • Title:   Simulation of Reflected Brownian motion on two dimensional wedges
  • Abstract: 
We study Brownian motion in two dimensions, which is reflected, stopped or killed in a wedge represented as the intersection of two half-spaces. First, we provide explicit density formulas, hinted by the method of images. These explicit expressions rely on infinite oscillating sums of Bessel functions and may demand computationally costly procedures. We propose suitable recursive algorithms for the simulation of the laws of reflected and stopped Brownian motion which are based on generalizations of the reflection principle in two dimensions. We study and give bounds for the complexity of the proposed algorithms. (Joint with P. Bras.)

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