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

DOI10.1007/s10543-021-00852-5zbMath1472.65013arXiv2006.10926OpenAlexW3036281849WikidataQ115384183 ScholiaQ115384183MaRDI QIDQ2045167

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

stochastic differential equationrate of convergencenumerical approximationrandom time changeinverse subordinatortime-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)

Related Items (3)

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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