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

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We introduce a semi-implicit Milstein approximation scheme for some classes 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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Correspondence to Hoang-Long Ngo.

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This research is funded by Vietnam National Foundation for Science and Technology Development (NAFOSTED) under Grant Number 101.03-2017.316. The paper was completed during a scientific stay of the second author at the Vietnam Institute for Advanced Study in Mathematics (VIASM), whose hospitality is gratefully appreciated.

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Luong, DT., Ngo, HL. Semi-implicit Milstein approximation scheme for non-colliding particle systems. Calcolo 56, 25 (2019). https://doi.org/10.1007/s10092-019-0319-2

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  • DOI: https://doi.org/10.1007/s10092-019-0319-2

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