Numerical schemes for radial Dunkl processes

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 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.