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

DOI10.1007/S10543-021-00852-5zbMATH Open1472.65013arXiv2006.10926OpenAlexW3036281849WikidataQ115384183 ScholiaQ115384183MaRDI QIDQ2045167FDOQ2045167

Authors: Sixian Jin, Kei Kobayashi 

Publication date: 12 August 2021

Published in: BIT (Search for Journal in Brave)

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.

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

Recommendations

• 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
• Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations
• A new discretization scheme for one dimensional stochastic differential equations using time change method
• Strong approximations of stochastic differential equations with jumps

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)

Cites Work

• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Limit theorems for continuous-time random walks with infinite mean waiting times
• Bernstein functions. Theory and applications
• SDEs driven by a time-changed Lévy process and their associated time-fractional order pseudo-differential equations
• Small ball probabilities for a class of time-changed self-similar processes
• Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion
• On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations
• Stochastic calculus for a time-changed semimartingale and the associated stochastic differential equations
• Stochastic representation of subdiffusion processes with time-dependent drift
• Triangular array limits for continuous time random walks
• Langevin picture of subdiffusion with infinitely divisible waiting times
• On the moments of the modulus of continuity of Itô processes
• Correlated continuous time random walks
• Option pricing in subdiffusive Bachelier model
• A strong and weak approximation scheme for stochastic differential equations driven by a time-changed Brownian motion
• Representations and isomorphism identities for infinitely divisible processes
• Beyond the Triangle
• Stability of the solution of stochastic differential equation driven by time-changed Lévy noise
• Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
• Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations
• Title not available (Why is that?)

Cited In (6)

• 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
• 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

This page was built for publication: Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2045167)