Semi-implicit Milstein approximation scheme for non-colliding particle systems
Probability
2019-08-13 v4 Numerical Analysis
Abstract
We introduce a semi-implicit Milstein approximation scheme for some class of non-colliding particle systems modeled by systems of stochastic differential equations with non-constant diffusion coefficients. We show that the scheme converges at the rate of order 1 in the mean-square sense.
Keywords
Cite
@article{arxiv.1808.09181,
title = {Semi-implicit Milstein approximation scheme for non-colliding particle systems},
author = {Hoang-Long Ngo and Duc-Trong Luong},
journal= {arXiv preprint arXiv:1808.09181},
year = {2019}
}
Comments
We have corrected a gap in the previous version