Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients

DOI10.1016/J.JMAA.2019.04.001zbMATH Open1433.60035arXiv1903.08706OpenAlexW2927309664WikidataQ128091106 ScholiaQ128091106MaRDI QIDQ2633871FDOQ2633871

Authors: Sixian Jin, Kei Kobayashi 

Publication date: 10 May 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: The rate of strong convergence is investigated for an approximation scheme for a class of stochastic differential equations driven by a time-changed Brownian motion, where the random time changes $(E_t{)}_{tge0}$ considered include the inverses of stable and tempered stable subordinators as well as their mixtures. Unlike those in the work of Jum and Kobayashi (2016), the coefficients of the stochastic differential equations discussed in this paper depend on the regular time variable $t$ rather than the time change $E_t$. This alteration makes it difficult to apply the method used in that paper. To overcome this difficulty, we utilize a Gronwall-type inequality involving a stochastic driver to control the moment of the error process. Moreover, in order to guarantee that an ultimately derived error bound is finite, we establish a useful criterion for the existence of exponential moments of powers of the random time change.

Full work available at URL: https://arxiv.org/abs/1903.08706

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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) PDEs with randomness, stochastic partial differential equations (35R60)

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• An averaging principle for stochastic differential delay equations driven by time-changed Lévy noise
• McKean-Vlasov stochastic differential equations driven by the time-changed Brownian motion
• Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations
• Erratum to: ``Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
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