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

DOI10.1016/j.jmaa.2019.04.001zbMath1433.60035arXiv1903.08706OpenAlexW2927309664WikidataQ128091106 ScholiaQ128091106MaRDI QIDQ2633871

Kei Kobayashi, Sixian Jin

Publication date: 10 May 2019

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

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

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

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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, McKean-Vlasov stochastic differential equations driven by the time-changed Brownian motion, Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations, Spectral heat content for time-changed killed Brownian motions, Transportation inequalities for stochastic differential equations driven by the time-changed Brownian motion, Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations, Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations, Parameter estimation for one-sided heavy-tailed distributions, Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators, Erratum to: ``Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients, Stability of solutions of Caputo fractional stochastic differential equations, Stability of stochastic differential equations driven by the time-changed Lévy process with impulsive effects

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