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WEAK ERROR FOR CONTINUOUS TIME MARKOV CHAINS RELATED TO FRACTIONAL IN TIME P(I)DES

Abstract : We provide sharp error bounds for the difference between the transition densities of some multidimensional Continuous Time Markov Chains (CTMC) and the fundamental solutions of some fractional in time Partial (Integro) Differential Equations (P(I)DEs). Namely, we consider equations involving a time fractional derivative of Caputo type and a spatial operator corresponding to the generator of a non degenerate Brownian or stable driven Stochastic Differential Equation (SDE).
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https://hal.archives-ouvertes.fr/hal-01147962
Contributor : Stephane Menozzi <>
Submitted on : Thursday, May 21, 2015 - 5:35:26 PM
Last modification on : Tuesday, March 17, 2020 - 3:25:19 AM
Long-term archiving on: : Monday, September 14, 2015 - 5:55:59 PM

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  • HAL Id : hal-01147962, version 1

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M Kelbert, V Konakov, S Menozzi. WEAK ERROR FOR CONTINUOUS TIME MARKOV CHAINS RELATED TO FRACTIONAL IN TIME P(I)DES. Stochastic Processes and their Applications, Elsevier, 2016, 126 (4), pp.1145-1183. ⟨hal-01147962⟩

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