A strong and weak approximation scheme for stochastic differential equations driven by a time-changed Brownian motion

MaRDI QIDQ2958722zbMATH OpenFDO

Authors Ernest Jum, Kei Kobayashi

Publication date 3 February 2017

Full work available at URL https://arxiv.org/abs/1408.4377, http://www.math.uni.wroc.pl/~pms/publicationsArticle.php?nr=36.2&nrA=2&ppB=201&ppE=220

zbMATH Keywords

stochastic differential equationstrong approximationnumerical methodsinverse subordinatorweak approximationconvergence ordertime-changed Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: This paper establishes a discretization scheme for a large class of stochastic differential equations driven by a time-changed Brownian motion with drift, where the time change is given by a general inverse subordinator. The scheme involves two types of errors: one generated by application of the Euler-Maruyama scheme and the other ascribed to simulation of the inverse subordinator. With the two errors carefully examined, the orders of strong and weak convergence are derived. Numerical examples are attached to support the convergence results.

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(17)

• Censored stable subordinators and fractional derivatives
• Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators
• Parameter estimation for one-sided heavy-tailed distributions
• A time-changed stochastic control problem and its maximum principle maximum principle
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• scientific article; zbMATH DE number 6866535 (Why is no real title available?)
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• Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations
• Almost sure exponential stability for 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
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• Erratum to: ``Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
• Razumikhin-type theorem on time-changed stochastic functional differential equations with Markovian switching
• Exponential stability for time-changed stochastic differential equations
• Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations

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