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, 56:25 | Cite as

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

  • Duc-Trong Luong
  • Hoang-Long NgoEmail author
Article
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Abstract

We introduce a semi-implicit Milstein approximation scheme for some classes 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.

Keywords

Dyson Brownian motion Milstein scheme Particle system Stochastic differential equation Strong approximation 

Mathematics Subject Classification

65C30 60H35 60K35 

Notes

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Copyright information

© Istituto di Informatica e Telematica (IIT) 2019

Authors and Affiliations

  1. 1.Hanoi National University of EducationCau Giay, HanoiVietnam

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