Semi-implicit Euler-Maruyama approximation for non-colliding particle systems

Hoang-Long Ngo; Dai Taguchi

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arXiv · 1706.10119

Semi-implicit Euler-Maruyama approximation for non-colliding particle systems

Hoang-Long Ngo·Dai Taguchi

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Abstract

We introduce a semi-implicit Euler-Maruyama approximation which preservers the non-colliding 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 $L^p$-norm and path-wise sense.

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BibTeX RIS

Hoang-Long Ngo, Dai Taguchi. 2018-05-16. Semi-implicit Euler-Maruyama approximation for non-colliding particle systems. https://arxiv.org/abs/1706.10119

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