Weak Error for Continuous Time Markov Chains Related to Fractional in Time P(I)DEs

M. Kelbert; V. Konakov; S. Menozzi

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arXiv · 1505.04610

Weak Error for Continuous Time Markov Chains Related to Fractional in Time P(I)DEs

M. Kelbert·V. Konakov·S. Menozzi

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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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M. Kelbert, V. Konakov, S. Menozzi. 2015-05-18. Weak Error for Continuous Time Markov Chains Related to Fractional in Time P(I)DEs. https://arxiv.org/abs/1505.04610

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