Weak Error for Continuous Time Markov Chains Related to Fractional in Time P(I)DEs
Probability
2015-05-19 v1
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).
Keywords
Cite
@article{arxiv.1505.04610,
title = {Weak Error for Continuous Time Markov Chains Related to Fractional in Time P(I)DEs},
author = {M. Kelbert and V. Konakov and S. Menozzi},
journal= {arXiv preprint arXiv:1505.04610},
year = {2015}
}
Comments
36 pages