分野別セミナー

Abstract:
In this talk, we introduce a semi-implicit Euler-Maruyama scheme which preservers the non-colliding property for some class of non-colliding particle systems such as Dyson Brownian motions, Dyson-Ornstein-Uhlenbeck processes and Brownian particles systems with nearest neighbour repulsion. We study its rates of convergence in $L^p$-norm.