論文

査読有り
2020年4月

SEMI-IMPLICIT EULER-MARUYAMA APPROXIMATION FOR NONCOLLIDING PARTICLE SYSTEMS

ANNALS OF APPLIED PROBABILITY
  • Hoang-Long Ngo
  • ,
  • Dai Taguchi

30
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
DOI
https://doi.org/10.1214/19-AAP1512
Web of Science
https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:000540232100006&DestApp=WOS_CPL
ID情報
  • DOI : 10.1214/19-AAP1512
  • ISSN : 1050-5164
  • Web of Science ID : WOS:000540232100006

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