October 14, 2021

Numerical schemes for radial Dunkl processes

Abstract:  In this talk, we consider the numerical approximation for a class of radial Dunkl processes corresponding to arbitrary (reduced) root systems. This class contains some well-known processes such as Bessel processes and Dyson’s Brownian motions. We introduce a backward and truncated Euler–Maruyama scheme, which can be implemented on a computer, and study its rate of convergence in L^{p}-norm. This talk is based on joint work with Hoang-Long Ngo (Hanoi National University of Education).

Speaker: Prof. Dai Taguchi (Associate professor at Okayama University, Japan)

Short biography of Speaker:

September, 2019 – Present: Associate professor at Okayama University 
April, 2017 – August, 2019: Assistant professor at Osaka University
March 2017: PhD at Ritsumeikan University