Weak error for Continuous Time Markov Chains related to fractional in time P(I)DEs

Mark Kelbert, V. Konakov and S. Menozzi

Stochastic Processes and their Applications, 2016, vol. 126, issue 4, 1145-1183

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: Fractional Cauchy problems; Probabilistic approximations; Local Limit Theorems; Stable processes (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2015.10.013

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