Semi-implicit Euler.Maruyama approximation for noncolliding particle systems

Authors
Ngo Hoang-Long Taguchi Dai
Citation
Ngo Hoang-long et Taguchi Dai, Semi-implicit Euler.Maruyama approximation for noncolliding particle systems, Annals of applied probability , 30(2), 2020, pp. 673-705
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
30
Issue
2
Year of publication
2020
Pages
673 - 705
Database
ACNP
SICI code
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.