Semi-implicit approximation scheme for non-colliding particle systems
Speaker: Luong Duc Trong

Time: 14h00, Thursday, October 18, 2018
Location: Room 302, Building A5, Institute of Mathematics
Abstract: We introduce some semi-implicit approximation schemes for some class of non-colliding particle systems modeled by stochastic differential equations with Holder continuous diffusion coefficients. We estimate rate of convergence in the mean-square sense.

Back