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

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.

We have corrected a gap in the previous version

References in corpus (3)

• Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
• Numerical solution of Dyson Brownian motion and a sampling scheme for invariant matrix ensembles
• Malliavin Calculus for Non-colliding Particle Systems