Numerical schemes for a class of generalized radial Dunkl processes

par Long Ngo Hoang (Hanoi)

mardi 23 sept. 2025, 09:50 → 10:50 Europe/Paris

Salle K. Johnson (1R3-1er étage)

The class of Dunkl processes encompasses many well-known models in mathematical finance and mathematical physics, including Bessel processes, Dyson's Brownian motions, and Wishart processes. In this talk, we study a generalized class of radial Dunkl processes governed by stochastic differential equations (SDEs) with singular drift and multiplicative noise. We first establish the existence and uniqueness of strong solutions and derive bounds for negative moments of the solution. We then propose and analyze numerical approximation schemes for these SDEs, providing appropriate convergence guarantees. 

This is joint work with Dai Taguchi (Kansai University) and Do Minh Thang (The Chinese University of Hong Kong, Shenzhen).