Weak error for continuous time Markov chains related to fractional in time P(I)DEs

DOI10.1016/J.SPA.2015.10.013zbMath1336.60150arXiv1505.04610OpenAlexW1695419625MaRDI QIDQ5965373

No author found.

Publication date: 3 March 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.04610

zbMATH Keywords

stochastic differential equationsstable processescontinuous-time Markov chainslocal limit theoremsfractional Cauchy problemspartial integro-differential equationsprobabilistic approximationsweak error

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stable stochastic processes (60G52) Limit theorems in probability theory (60F99) Fractional partial differential equations (35R11) Integro-partial differential equations (35R09)

Related Items (4)

Approximation for non-smooth functionals of stochastic differential equations with irregular drift ⋮ Heavy-tailed fractional Pearson diffusions ⋮ On the solvability of some systems of integro-differential equations with the double scale anomalous diffusion in higher dimensions ⋮ The probabilistic point of view on the generalized fractional partial differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Lagging and leading coupled continuous time random walks, renewal times and their joint limits
• Explicit parametrix and local limit theorems for some degenerate diffusion processes
• On some non asymptotic bounds for the Euler scheme
• A stochastic differential equation model with jumps for fractional advection and dispersion
• Small time Edgeworth-type expansions for weakly convergent nonhomogeneous Markov chains
• Fractional diffusion equations and processes with randomly varying time
• Some estimates of the transition density of a nondegenerate diffusion Markov process
• Local limit theorems for transition densities of Markov chains converging to diffusions
• Limit theorems for coupled continuous time random walks.
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
• Cauchy problem for evolution equations of a fractional order
• Curvature and the eigenvalues of the Laplacian
• Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion
• Cauchy problem for fractional diffusion-wave equations with variable coefficients
• Generalized Continuous-Time Random Walks, Subordination by Hitting Times, and Fractional Dynamics
• A Method for Simulating Stable Random Variables
• Symmetric Stable Laws and Stable-Like Jump-Diffusions
• Limit theorems for continuous-time random walks with infinite mean waiting times
• The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
• Edgeworth type expansions for Euler schemes for stochastic differential equations.
• Calculation of multidimensional stable densities
• Fractional Langevin equation with α-stable noise. A link to fractional ARIMA time series
• Inverse Stable Subordinators
• Stochastic models for fractional calculus

This page was built for publication: Weak error for continuous time Markov chains related to fractional in time P(I)DEs