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Bibliographische Detailangaben
Hauptverfasser: Ngo, Hoang-Long, Taguchi, Dai
Format: Preprint
Veröffentlicht: 2024
Schlagworte:
Online-Zugang:https://arxiv.org/abs/2404.05113
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Inhaltsangabe:
  • 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.