2020年4月
SEMI-IMPLICIT EULER-MARUYAMA APPROXIMATION FOR NONCOLLIDING PARTICLE SYSTEMS
ANNALS OF APPLIED PROBABILITY
- ,
- 巻
- 30
- 号
- 2
- 開始ページ
- 673
- 終了ページ
- 705
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1214/19-AAP1512
- 出版者・発行元
- INST MATHEMATICAL STATISTICS
We introduce a semi-implicit Euler-Maruyama approximation which preserves the noncolliding property for some class of noncolliding particle systems such as Dyson-Brownian motions, Dyson-Ornstein-Uhlenbeck processes and Brownian particle systems with nearest neighbor repulsion, and study its rates of convergence in both L-p-norm and pathwise sense.
- リンク情報
- ID情報
-
- DOI : 10.1214/19-AAP1512
- ISSN : 1050-5164
- Web of Science ID : WOS:000540232100006