Numerical schemes for radial Dunkl processes

2024/04/08 by Hoang-Long Ngo, Ngo, Hoang-Long, Dai Taguchi +1
Mathematics · Physics and Astronomy · #17B22 #60H35 #65C30 #91G60 #FOS: Mathematics #Probability (math.PR) #Quantum chaos and dynamical systems #Spectral Theory in Mathematical Physics

paper · pdf · doi:10.48550/arxiv.2404.05113

openalex publication_date 2024/04/08 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We consider the numerical approximation for a class of radial Dunkl processes corresponding to arbitrary (reduced) root systems in 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.

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