This is the Python code for the algorithms that are described in the paper: simulation of stopped and reflected Brownian motion, simulation of stopped and reflected processes. The notebook Simulations.ipynb shows how to use the source code rmb.py.
Please cite our paper if it helps your research (only arXiv for now):
@ARTICLE{2021arXiv210702171B,
author = {{Bras}, Pierre and {Kohatsu-Higa}, Arturo},
title = "{Simulation of Reflected Brownian motion on two dimensional wedges}",
journal = {arXiv e-prints},
keywords = {Mathematics - Probability, 60H35, 65C05, 65C30},
year = 2021,
month = jul,
eid = {arXiv:2107.02171},
pages = {arXiv:2107.02171},
archivePrefix = {arXiv},
eprint = {2107.02171},
primaryClass = {math.PR},
adsurl = {https://ui.adsabs.harvard.edu/abs/2021arXiv210702171B},
adsnote = {Provided by the SAO/NASA Astrophysics Data System}
}
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