Numerical schemes for radial Dunkl processes

Abstract

We consider the numerical approximation for a class of radial Dunkl processes corresponding to arbitrary (reduced) root systems in ${\mathbb{R}}^d$. This class contains some well-known processes such as Bessel processes, Dyson's Brownian motions, and Wishart processes. We propose some semi--implicit and truncated Euler--Maruyama schemes for radial Dunkl processes, and study their rate of convergence with respect to the $L^p$-sup norm.

24 pages