We introduce a semi-implicit Euler-Maruyama approximation which preservers the noncolliding property for some class of non-colliding particle systems such as Dyson Brownian motions, Dyson-Ornstein-Uhlenbeck processes and Brownian particles systems with nearest neighbour repulsion, and study its rates of convergence in both Lp-norm and path-wise sense. 2010 Mathematics Subject Classification: 60H35; 41A25; 60C30.
60H35, 41A25, 60C30
|Publication status||Published - Jun 30 2017|
- Implicit euler-maruyama approximation
- Non-colliding particle systems
- Rate of convergence
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