Semi-implicit Euler-Maruyama approximation for noncolliding particle systems

DOI10.1214/19-AAP1512zbMath1464.60083arXiv1706.10119OpenAlexW3033836611MaRDI QIDQ2192737

Dai Taguchi, Hoang-Long Ngo

Publication date: 17 August 2020

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.10119

zbMATH Keywords

rate of convergenceimplicit Euler-Maruyama approximationnoncolliding particle systems

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (2)

An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables ⋮ Malliavin calculus for non-colliding particle systems

Uses Software

• RODAS

Cites Work

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