確率論セミナー


2017/5/9(Tue)

16:30--18:00 数学教室 大セミナー室 (E404)

田口 大

大阪大学基礎工学研究科

Semi-implicit Euler-Maruyama scheme for non-colliding particle systems

In this talk, we introduce a semi-implicit Euler-Maruyama scheme which preservers the non-colliding property for some class of non-colliding particle systems such as Dyson Brownian motions, Dyson-Ornstein-Uhlenbeck processes and Brownian particles systems with nearest neighbour repulsion. We study its rates of convergence in $L^p$-norm.