English

Strong solution and approximation of time-dependent radial Dunkl processes with multiplicative noise

Probability 2024-10-15 v1 Numerical Analysis Numerical Analysis

Abstract

We study the strong existence and uniqueness of solutions within a Weyl chamber for a class of time-dependent particle systems driven by multiplicative noise. This class includes well-known processes in physics and mathematical finance. We propose a method to prove the existence of negative moments for the solutions. This result allows us to analyze two numerical schemes for approximating the solutions. The first scheme is a θ\theta-Euler--Maruyama scheme, which ensures that the approximated solution remains within the Weyl chamber. The second scheme is a truncated θ\theta-Euler--Maruyama scheme, which produces values in Rd\mathbb{R}^{d} instead of the Weyl chamber W\mathbb{W}, offering improved computational efficiency.

Cite

@article{arxiv.2410.10457,
  title  = {Strong solution and approximation of time-dependent radial Dunkl processes with multiplicative noise},
  author = {Minh-Thang Do and Hoang-Long Ngo and Dai Taguchi},
  journal= {arXiv preprint arXiv:2410.10457},
  year   = {2024}
}
R2 v1 2026-06-28T19:20:32.036Z