Articles with "colliding particle" as a keyword



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Semi-implicit Milstein approximation scheme for non-colliding particle systems

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Published in 2019 at "Calcolo"

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