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
Citation
Hoang-Long Ngo. Dai Taguchi. "Semi-implicit Euler–Maruyama approximation for noncolliding particle systems." Ann. Appl. Probab. 30 (2) 673 - 705, April 2020. https://doi.org/10.1214/19-AAP1512
Information