On the existence of negative moments for some non-colliding particle systems and its application
Báo cáo viênr: Đỗ Minh Thắng
Thời gian: 14h Thứ 5, ngày 11/11/2021
Tóm tắt: We consider a class of d-dimensional stochastic differential equations that model a non-colliding random particle system. We provide a sufficient condition, which does not depend on the dimension d, for the existence of negative moments of the gap between two particles, and then apply this result to study the strong rate of convergence of the semi-implicit Euler-Maruyama approximation scheme. Our finding improves a recent result of Ngo and Taguchi (Annals of Applied Probability, 2020). In joint work with Ngô Hoàng Long.

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