Photo by sharonmccutcheon from unsplash
We introduce a semi-implicit Milstein approximation scheme for some class of non-colliding particle systems modeled by systems of stochastic differential equations with non-constant diffusion coefficients. We show that the scheme… Click to show full abstract
We introduce a semi-implicit Milstein approximation scheme for some class of non-colliding particle systems modeled by systems of stochastic differential equations with non-constant diffusion coefficients. We show that the scheme converges at the rate of order 1 in the mean-square sense.
Keywords:
non colliding;
milstein approximation;
colliding particle;
implicit milstein;
semi implicit;
approximation scheme
Journal Title: Calcolo
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: Calcolo
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!