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arXiv · 2504.19192

Strong and weak convergence orders of numerical methods for SDEs driven by time-changed L\'{e}vy noise

Ziheng Chen·Jiao Liu·Anxin Wu
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Abstract

This work investigates the strong and weak convergence orders of numerical methods for SDEs driven by time-changed L\'{e}vy noise under the globally Lipschitz conditions. Based on the duality theorem, we prove that the numerical approximation generated by the stochastic $\theta$ method with $\theta \in [0,1]$ and the simulation of inverse subordinator converges strongly with order $1/2$. Moreover, the numerical approximation combined with the Euler--Maruyama method and the estimate of inverse subordinator is shown to have the weak convergence order $1$ by means of the Kolmogorov backward partial integro differential equations. These theoretical results are finally confirmed by some numerical experiments.

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Ziheng Chen, Jiao Liu, Anxin Wu. 2025-04-27. Strong and weak convergence orders of numerical methods for SDEs driven by time-changed L\'{e}vy noise. https://arxiv.org/abs/2504.19192

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