Semi-implicit euler-maruyama approximation for non-colliding particle systems

Hoang Long Ngo, Dai Taguchi

Research output: Contribution to journalArticlepeer-review

Abstract

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

Original languageEnglish
JournalUnknown Journal
Publication statusPublished - Jun 30 2017
Externally publishedYes

Keywords

  • Implicit euler-maruyama approximation
  • Non-colliding particle systems
  • Rate of convergence

ASJC Scopus subject areas

  • General

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