Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations

DOI10.1007/s10543-020-00810-7zbMath1469.65028arXiv1907.11408OpenAlexW3025554787MaRDI QIDQ2216486

Wei Liu, Chang Song Deng

Publication date: 16 December 2020

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.11408

zbMATH Keywords

strong convergencesemi-implicit Euler-Maruyama methodtime-changed stochastic differential equationsmean square polynomial stability subordinator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (8)

Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients ⋮ An averaging principle for stochastic differential delay equations driven by time-changed Lévy noise ⋮ On a class of distribution dependent stochastic differential equations driven by time-changed Brownian motions ⋮ Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations ⋮ Transportation inequalities for stochastic differential equations driven by the time-changed Brownian motion ⋮ Feynman-Kac formula for tempered fractional general diffusion equations with nonautonomous external potential ⋮ Polynomial stability of highly non-linear time-changed stochastic differential equations ⋮ Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators

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