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

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 $L^{p}$-norm and pathwise sense.

Citation

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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

Received: 1 May 2018; Revised: 1 October 2018; Published: April 2020
First available in Project Euclid: 8 June 2020

zbMATH: 07236131
MathSciNet: MR4108119
Digital Object Identifier: 10.1214/19-AAP1512

Subjects:
Primary: 60K35
Secondary: 41A25

Rights: Copyright © 2020 Institute of Mathematical Statistics

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Vol.30 • No. 2 • April 2020
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