Numerical schemes for radial Dunkl processes
Probability
2024-10-11 v2
Abstract
We consider the numerical approximation for a class of radial Dunkl processes corresponding to arbitrary (reduced) root systems in . This class contains some well-known processes such as Bessel processes, Dyson's Brownian motions, and Wishart processes. We propose some semi--implicit and truncated Euler--Maruyama schemes for radial Dunkl processes, and study their rate of convergence with respect to the -sup norm.
Cite
@article{arxiv.2404.05113,
title = {Numerical schemes for radial Dunkl processes},
author = {Hoang-Long Ngo and Dai Taguchi},
journal= {arXiv preprint arXiv:2404.05113},
year = {2024}
}
Comments
24 pages