Numerical schemes for radial Dunkl processes

arxiv(2024)

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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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