Numerical approximation for non-colliding particle systems
Numerical Analysis
2018-07-25 v1
Abstract
We apply the semi-discrete method, c.f. \emph{N. Halidias and I.S. Stamatiou (2016), On the numerical solution of some non-linear stochastic differential equations using the semi-discrete method, Computational Methods in Applied Mathematics, 16(1)}, to a class of non-colliding particle systems. The proposed numerical scheme preserves the non-colliding property and strongly converges to the exact solution.
Keywords
Cite
@article{arxiv.1807.08924,
title = {Numerical approximation for non-colliding particle systems},
author = {Ioannis S. Stamatiou},
journal= {arXiv preprint arXiv:1807.08924},
year = {2018}
}
Comments
17 pages