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

DOI10.1007/s10092-019-0319-2OpenAlexW2888987299MaRDI QIDQ2323707

Hoang-Long Ngo, Duc-Trong Luong

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 approximationparticle systemMilstein schemeDyson 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)

Cites Work

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• Strong solutions of non-colliding particle systems
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• On the Moments of the Modulus of Continuity of Itô Processes
• A Brownian-Motion Model for the Eigenvalues of a Random Matrix
• Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
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