SEMI-IMPLICIT EULER-MARUYAMA APPROXIMATION FOR NONCOLLIDING PARTICLE SYSTEMS

• 成果类型: Article
• 署名作者: Ngo, Hoang-Long; Taguchi, Dai
• 署名单位: Hanoi National University of Education; University of Osaka
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/19-AAP1512
• 发表日期: 2020
• 页码: 673-705
• 关键词: brownian-motion; CONVERGENCE; DIFFUSIONS; sdes

摘要

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.