Semi-implicit Milstein approximation scheme for non-colliding particle systems
classification
🧮 math.PR
cs.NAmath.NA
keywords
schemesystemsapproximationmilsteinnon-collidingparticlesemi-implicitclass
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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.
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