Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators

DOI10.1007/S10543-021-00852-5MaRDI QIDQ2045167zbMATH OpenOpenAlexWikidataFDO

Authors Sixian Jin, Kei Kobayashi

Publication date 12 August 2021

Published in BIT (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.10926

zbMATH Keywords

rate of convergencestochastic differential equationnumerical approximationinverse subordinatorrandom time changetime-changed Brownian motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: The rates of strong convergence for various approximation schemes are investigated for a class of stochastic differential equations (SDEs) which involve a random time change given by an inverse subordinator. SDEs to be considered are unique in two different aspects: i) they contain two drift terms, one driven by the random time change and the other driven by a regular, non-random time variable; ii) the standard Lipschitz assumption is replaced by that with a time-varying Lipschitz bound. The difficulty imposed by the first aspect is overcome via an approach that is significantly different from a well-known method based on the so-called duality principle. On the other hand, the second aspect requires the establishment of a criterion for the existence of exponential moments of functions of the random time change.

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Cited in

(7)

• The direct Richardson \(p\)th order (DRp) schemes: a new class of time integration schemes for stochastic differential equations
• Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
• A strong and weak approximation scheme for stochastic differential equations driven by a time-changed Brownian motion
• Mean square stability of the split-step theta method for non-linear time-changed stochastic differential equations
• Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients
• Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations
• Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes

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