径向Dunkl过程的数值格式

IF 2.4 2区数学 Q1 MATHEMATICS, APPLIED

IMA Journal of Numerical Analysis Pub Date : 2025-03-12 DOI:10.1093/imanum/draf005

Hoang-Long Ngo, Dai Taguchi

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引用次数: 0

摘要

我们考虑了与 $\mathbb{R}^{d}$ 中任意（简化）根系统相对应的一类径向 Dunkl 过程的数值近似。这一类过程包含众所周知的过程，如贝塞尔过程、戴森布朗运动和 Wishart 过程的平方根。我们为径向 Dunkl 过程提出了一些半隐式和截断式 Euler-Maruyama 方案，并研究了它们在 $L^{p}$-sup norm 方面的收敛率。

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Numerical schemes for radial Dunkl processes

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 well-known processes such as Bessel processes, Dyson’s Brownian motions and square root of Wishart processes. We propose some semi-implicit and truncated Euler–Maruyama schemes for radial Dunkl processes and study their convergence rate with respect to the $L^{p}$-sup norm.

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来源期刊

IMA Journal of Numerical Analysis 数学-应用数学

CiteScore

5.30

自引率

4.80%

发文量

审稿时长

6-12 weeks

期刊介绍： The IMA Journal of Numerical Analysis (IMAJNA) publishes original contributions to all fields of numerical analysis; articles will be accepted which treat the theory, development or use of practical algorithms and interactions between these aspects. Occasional survey articles are also published.