Parameter-related strong convergence rate of an Euler's type method for time-changed stochastic differential equations
By: Ruchun Zuo
Potential Business Impact:
Makes math models of changing things more accurate.
An Euler's type method with the equidistant step size is proposed for a class of time-changed stochastic differential equations driven by the multiplicative noise and the strong convergence rate that is related to the parameter of the time changing process is obtained. Such a observation of the convergence rate is significantly different from those existing results that employ methods with the random step size. Numerical simulations are provided to demonstrate the theoretical results.
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