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

2020/06/30 by Sixian Jin, Kei Kobayashi
Economics, Econometrics and Finance · Engineering · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #Fluid Dynamics and Turbulent Flows #Stochastic processes and financial applications

paper · doi:10.1007/s10543-021-00852-5

openalex created_date 2020/06/25 · crossref issued 2021/03/19 · crossref published 2021/03/19 · crossref published-online 2021/03/19 · openalex publication_date 2021/03/19 · crossref created 2021/03/19 · crossref deposited 2021/07/28 · crossref published-print 2021/09/01 · crossref indexed 2026/07/29 · openalex updated_date 2026/08/03

Citations

• Stochastic Calculus for a Time-Changed Semimartingale and the Associated Stochastic Differential Equations
• Stability of stochastic differential equations with respect to time-changed Brownian motions
• A strong and weak approximation scheme for stochastic differential equations driven by a time-changed Brownian motion