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

Author:

Jin SixianORCID,Kobayashi KeiORCID

Funder

Fordham University

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computational Mathematics,Computer Networks and Communications,Software

Reference28 articles.

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2. Cont, R., Tankov, P.: Financial Modelling with Jump Processes. Chapman and Hall/CRC, Boca Raton (2003)

3. Deng, C.S., Liu, W.: Semi-implicit Euler–Maruyama method for non-linear time-changed stochastic differential equations. BIT Numer. Math. (online first)

4. Fischer, M., Nappo, G.: On the moments of the modulus of continuity of Itô processes. Stoch. Anal. Appl. 28(1), 103–122 (2008)

5. Hahn, M., Kobayashi, K., Ryvkina, J., Umarov, S.: On time-changed Gaussian processes and their associated Fokker–Planck–Kolmogorov equations. Electr. Commun. Probab. 16, 150–164 (2011)

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