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.
- Implicit Euler-Maruyama approximation
- Noncolliding particle systems
- Rate of convergence
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty