A strong and weak approximation scheme for stochastic differential equations driven by a time-changed Brownian motion
From MaRDI portal
Publication:2958722
zbMath1357.60070arXiv1408.4377MaRDI QIDQ2958722
Publication date: 3 February 2017
Full work available at URL: https://arxiv.org/abs/1408.4377
stochastic differential equationnumerical methodsweak approximationstrong approximationconvergence orderinverse subordinatortime-changed Brownian motion
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items
Convergence and Stability of an Explicit Method for Autonomous Time-Changed Stochastic Differential Equations with Super-Linear Coefficients, Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients, Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations, Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations, Censored stable subordinators and fractional derivatives, Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations, Parameter estimation for one-sided heavy-tailed distributions, Almost sure exponential stability for time-changed stochastic differential equations, Razumikhin-type theorem on time-changed stochastic functional differential equations with Markovian switching, Strong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators, Exponential stability for time-changed stochastic differential equations, Effect of random time changes on Loewner hulls, Unnamed Item, A time-changed stochastic control problem and its maximum principle theory
