$α$-scaled strong convergence of stochastic theta method for stochastic differential equations driven by time-changed Lévy noise beyond Lipschitz continuity

Fuente: arXiv
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Autore principale: Chen, Jingwei
Natura: Preprint
Pubblicazione: 2025
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author Chen, Jingwei
author_facet Chen, Jingwei
contents This paper develops an $α$-parametrized framework for analyzing the strong convergence of the stochastic theta (ST) method for stochastic differential equations driven by time-changed Lévy noise (TCSDEwLNs) with time-space-dependent coefficients satisfying local Lipschitz conditions. Properties of the inverse subordinator are investigated and explicit moment bounds for the exact solution are derived with jump rate incorporated. The analysis demonstrates that the ST method converges strongly with order of $min\{η_{F},η_{G},η_{H},α/2\}$, establishing a precise relationship between numerical accuracy and the time-change mechanism. This theoretical advancement extends existing results and would facilitate applications in finance and biology where time-changed Lévy models are prevalent.
format Preprint
id arxiv_https___arxiv_org_abs_2508_12909
institution arXiv
publishDate 2025
record_format arxiv
spellingShingle $α$-scaled strong convergence of stochastic theta method for stochastic differential equations driven by time-changed Lévy noise beyond Lipschitz continuity
Chen, Jingwei
Probability
Numerical Analysis
65C30, 60H10
This paper develops an $α$-parametrized framework for analyzing the strong convergence of the stochastic theta (ST) method for stochastic differential equations driven by time-changed Lévy noise (TCSDEwLNs) with time-space-dependent coefficients satisfying local Lipschitz conditions. Properties of the inverse subordinator are investigated and explicit moment bounds for the exact solution are derived with jump rate incorporated. The analysis demonstrates that the ST method converges strongly with order of $min\{η_{F},η_{G},η_{H},α/2\}$, establishing a precise relationship between numerical accuracy and the time-change mechanism. This theoretical advancement extends existing results and would facilitate applications in finance and biology where time-changed Lévy models are prevalent.
title $α$-scaled strong convergence of stochastic theta method for stochastic differential equations driven by time-changed Lévy noise beyond Lipschitz continuity
topic Probability
Numerical Analysis
65C30, 60H10
url https://arxiv.org/abs/2508.12909