Semi-implicit Milstein approximation scheme for non-colliding particle systems

DOI10.1007/S10092-019-0319-2MaRDI QIDQ2323707zbMATH OpenOpenAlexFDO

Authors Duc-Trong Luong, H. L. Ngo

Publication date 3 September 2019

Published in Calcolo (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.09181

zbMATH Keywords

stochastic differential equationstrong approximationMilstein schemeparticle systemDyson Brownian motion

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 3913419 (Why is no real title available?)
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• Diffusions of perturbed principal component analysis
• Interacting Brownian particles and the Wigner law
• Intertwinings of beta-Dyson Brownian motions of different dimensions
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• On the moments of the modulus of continuity of Itô processes
• On the splitting-up method and stochastic partial differential equations
• Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
• Strong solutions of non-colliding particle systems
• Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
• Wishart processes

Cited in

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• Semi-implicit Milstein approximation scheme for non-colliding particle systems

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