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