Numerical approximation for non-colliding particle systems

2018/07/24 by Ioannis S. Stamatiou, Stamatiou, Ioannis S.
Economics, Econometrics and Finance · Mathematics · #41A25 #60H10 #60H35 #60J60 #65C20 #65C30 #65J15 #65L20 #FOS: Mathematics #Numerical Analysis (math.NA) #Random Matrices and Applications #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.1807.08924

openalex publication_date 2018/07/24 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We apply the semi-discrete method, c.f. N. Halidias and I.S. Stamatiou (2016), On the numerical solution of some non-linear stochastic differential equations using the semi-discrete method, Computational Methods in Applied Mathematics, 16(1), to a class of non-colliding particle systems. The proposed numerical scheme preserves the non-colliding property and strongly converges to the exact solution.

Citations

• First order strong approximations of scalar SDEs defined in a domain

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