Semi-implicit Eulera-Maruyama approximation for noncolliding particle systems

Hoang Long Ngo, Dai Taguchi

Research output: Contribution to journalArticle

Abstract

We introduce a semi-implicit Euler-Maruyama approximation which preserves the noncolliding property for some class of noncolliding particle systems such as Dyson-Brownian motions, Dyson-Ornstein-Uhlenbeck processes and Brownian particle systems with nearest neighbor repulsion, and study its rates of convergence in both Lp-norm and pathwise sense.

Original languageEnglish
Pages (from-to)673-705
Number of pages33
JournalAnnals of Applied Probability
Volume30
Issue number2
DOIs
Publication statusPublished - Apr 2020

Keywords

  • Implicit Euler-Maruyama approximation
  • Noncolliding particle systems
  • Rate of convergence

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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