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Numerical schemes for radial Dunkl processes
Published 8 Apr 2024 in math.PR | (2404.05113v2)
Abstract: We consider the numerical approximation for a class of radial Dunkl processes corresponding to arbitrary (reduced) root systems in $\mathbb{R}{d}$. 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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