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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2404.05113 |
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| _version_ | 1866914968756027392 |
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| author | Ngo, Hoang-Long Taguchi, Dai |
| author_facet | Ngo, Hoang-Long Taguchi, Dai |
| contents | We consider the numerical approximation for a class of radial Dunkl processes corresponding to arbitrary (reduced) root systems in $\mathbb{R}^{d}$. This class contains some well-known processes such as Bessel processes, Dyson's Brownian motions, and Wishart processes. We propose some semi--implicit and truncated Euler--Maruyama schemes for radial Dunkl processes, and study their rate of convergence with respect to the $L^{p}$-sup norm. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2404_05113 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Numerical schemes for radial Dunkl processes Ngo, Hoang-Long Taguchi, Dai Probability 65C30, 60H35, 91G60, 17B22 We consider the numerical approximation for a class of radial Dunkl processes corresponding to arbitrary (reduced) root systems in $\mathbb{R}^{d}$. This class contains some well-known processes such as Bessel processes, Dyson's Brownian motions, and Wishart processes. We propose some semi--implicit and truncated Euler--Maruyama schemes for radial Dunkl processes, and study their rate of convergence with respect to the $L^{p}$-sup norm. |
| title | Numerical schemes for radial Dunkl processes |
| topic | Probability 65C30, 60H35, 91G60, 17B22 |
| url | https://arxiv.org/abs/2404.05113 |