@article{fb11888a52744860b01405850a8901e9,
title = "Semi-implicit Eulera-Maruyama approximation for noncolliding particle systems",
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. ",
keywords = "Implicit Euler-Maruyama approximation, Noncolliding particle systems, Rate of convergence",
author = "Ngo, {Hoang Long} and Dai Taguchi",
note = "Funding Information: This work was supported by JSPS KAKENHI Grant Number 16J00894 and 17H06833, and Vietnam National Foundation for Science and Technology Development (NAFOSTED) under Grant Number 101.03-2017.316. Funding Information: Part of this work was carried out while the first author was visiting Ritsumeikan University and Vietnam Institute for Advanced Study in Mathematics (VIASM). He would like to thank these institutes for their support. This work was supported by JSPS KAKENHI Grant Number 16J00894 and 17H06833, and Vietnam National Foundation for Science and Technology Development (NAFOSTED) under Grant Number 101.03-2017.316. Publisher Copyright: {\textcopyright} 2020 Institute of Mathematical Statistics.",
year = "2020",
month = apr,
doi = "10.1214/19-AAP1512",
language = "English",
volume = "30",
pages = "673--705",
journal = "Annals of Applied Probability",
issn = "1050-5164",
publisher = "Institute of Mathematical Statistics",
number = "2",
}