We introduce a semi-implicit Milstein approximation scheme for some classes of non-colliding particle systems modeled by systems of stochastic differential equations with non-constant diffusion coefficients. We show that the scheme converges at the rate of order 1 in the mean-square sense.

中文翻译：

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非碰撞粒子系统的半隐式Milstein逼近方案

我们针对由非恒定扩散系数的随机微分方程组建模的某些非碰撞粒子系统引入半隐式Milstein逼近方案。我们表明，该方案在均方意义上以1阶的速率收敛。