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arXiv · 1808.09181

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

Hoang-Long Ngo·Duc-Trong Luong
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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.

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Hoang-Long Ngo, Duc-Trong Luong. 2018-08-28. Semi-implicit Milstein approximation scheme for non-colliding particle systems. https://doi.org/10.1007/s10092-019-0319-2

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