English

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 Rd\mathbb{R}^{d}. 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 LpL^{p}-sup norm.

Keywords

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

R2 v1 2026-06-28T15:46:50.727Z