Weak error for continuous time Markov chains related to fractional in time P(I)DEs

DOI10.1016/j.spa.2015.10.013zbMath1336.60150arXiv1505.04610OpenAlexW1695419625MaRDI QIDQ5965373

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Publication date: 3 March 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.04610

zbMATH Keywords

stochastic differential equationsstable processescontinuous-time Markov chainslocal limit theoremsfractional Cauchy problemspartial integro-differential equationsprobabilistic approximationsweak error

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stable stochastic processes (60G52) Limit theorems in probability theory (60F99) Fractional partial differential equations (35R11) Integro-partial differential equations (35R09)

Related Items (3)

Approximation for non-smooth functionals of stochastic differential equations with irregular drift ⋮ Heavy-tailed fractional Pearson diffusions ⋮ The probabilistic point of view on the generalized fractional partial differential equations

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