Semi-implicit Milstein approximation scheme for non-colliding particle systems
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DOI: 10.1007/s10092-019-0319-2
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… read more here.
Keywords: non colliding; milstein approximation; colliding particle; implicit milstein ... See more keywords
Convergences of the squareroot approximation scheme to the Fokker–Planck operator
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DOI: 10.1142/s0218202518500562
Abstract: We study the qualitative convergence behavior of a novel FV-discretization scheme of the Fokker–Planck equation, the squareroot approximation scheme (SQRA), that recently was proposed by Lie, Fackeldey and Weber [A square root approximation of transition… read more here.
Keywords: fokker planck; scheme fokker; squareroot approximation; scheme ... See more keywords