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 -Euler--Maruyama scheme, which ensures that the approximated solution remains within the Weyl chamber. The second scheme is a truncated -Euler--Maruyama scheme, which produces values in instead of the Weyl chamber , 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}
}