Institute of Mathematics for Industry

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Implicit Euler--Maruyama scheme for radial Dunkl processes


Hold Date 2019-07-26 16:30~2019-07-26 18:00

Place 九州大学 伊都キャンパス ウエスト1号館 中セミナー室 W1-D-725

Object person  

Speaker Dai TAGUCHI (Osaka University)

Abstract:
In this talk, we consider numerical schemes for radial Dunkl processes corresponding to arbitrary (reduced) root systems in $\mathbb{R}^{d}$, not only Bessel processes and Dyson's Brownian motions. Since a radial Dunkl process takes values in the Wely chamber $\mathbb{W}$ of the root system, we introduce $\mathbb{W}$-valued numerical scheme, and provide its rate of convergence in $L^{p}$-sup norm.