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

DOI10.1007/S10092-019-0319-2MaRDI QIDQ6305891arXivFDO

Authors Duc-Trong Luong, H. L. Ngo

Publication date 28 August 2018

Published in arXiv

Full work available at URL https://doi.org/10.1007/S10092-019-0319-2

Mathematics Subject Classification ID

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

arXiv classification

math.NAmath.PR

Abstract: We introduce a semi-implicit Milstein approximation scheme for some class of non-colliding particle systems modeled by systems of stochastic differential equations with non-constant diffusion coefficients. We show that the scheme converges at the rate of order 1 in the mean-square sense.

This page was built for publication: Semi-implicit Milstein approximation scheme for non-colliding particle systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6305891)