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20132026
most citedOn the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients

24 citations · 33 across the 12 of their papers we have counts for

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math.PR2017

Semi-implicit Euler-Maruyama approximation for non-colliding particle systems

Hoang-Long Ngo, Dai Taguchi

We introduce a semi-implicit Euler-Maruyama approximation which preservers the non-colliding property for some class of non-colliding particle systems such as Dyson Brownian motion…