Semi-implicit Milstein approximation scheme for non-colliding particle systems
DOI10.1007/S10092-019-0319-2OpenAlexW2888987299MaRDI QIDQ2323707FDOQ2323707
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
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Cites Work
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- Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients
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- Boundary behavior of a constrained Brownian motion between reflecting-repellent walls
- Intertwinings of beta-Dyson Brownian motions of different dimensions
- Strong solutions of non-colliding particle systems
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