Numerical schemes for radial Dunkl processes
arxiv(2024)
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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