Year: 2018
Type: preprint
Abstract: We apply the semi-discrete method, c.f. \emph{N. Halidias and I.S. Stamatiou (2016), On the numerical solution of some non-linear stochastic differential equations using the semi-discrete method, Computational Methods in Applied Mathematics, 16(1)}, to a class of non-colliding particle systems. The proposed numerical scheme preserves the non-colliding property and strongly converges to the exact solution.
Source: arXiv (Cornell University)
Author: Stamatiou, Ioannis S.
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2883475504