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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• 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
• Almost sure exponential stability for time-changed stochastic differential equations

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