Numerical approximation for non-colliding particle systems
Provides a numerical scheme for simulating non-colliding particle systems, which is important for applications in physics and finance where particle interactions must avoid collisions.
The paper applies the semi-discrete method to non-colliding particle systems, preserving the non-colliding property and achieving strong convergence to the exact solution.
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.