Semi-implicit Euler-Maruyama approximation for non-colliding particle systems
Probability
2018-05-17 v2
Abstract
We introduce a semi-implicit Euler-Maruyama approximation which preservers the non-colliding property for some class of non-colliding particle systems such as Dyson Brownian motions, Dyson-Ornstein-Uhlenbeck processes and Brownian particles systems with nearest neighbour repulsion, and study its rates of convergence in both -norm and path-wise sense.
Cite
@article{arxiv.1706.10119,
title = {Semi-implicit Euler-Maruyama approximation for non-colliding particle systems},
author = {Hoang-Long Ngo and Dai Taguchi},
journal= {arXiv preprint arXiv:1706.10119},
year = {2018}
}
Comments
31 pages