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Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion 期刊论文
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2020, 卷号: 130, 期号: 5, 页码: 2675-2692
作者:  Hong, Jialin;  Huang, Chuying;  Kamrani, Minoo;  Wang, Xu
收藏  |  浏览/下载：184/0  |  提交时间：2020/06/30
Cox-Ingersoll-Ross model  Fractional Brownian motion  Backward Euler scheme  Optimal strong convergence rate  Malliavin calculus  
Explicit Deferred Correction Methods for Second-Order Forward Backward Stochastic Differential Equations 期刊论文
JOURNAL OF SCIENTIFIC COMPUTING, 2019, 卷号: 79, 期号: 3, 页码: 1409-1432
作者:  Yang, Jie;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载：200/0  |  提交时间：2020/01/10
Deferred correction method  Second-order forward backward stochastic differential equations  Euler scheme  High-order rate of convergence  
Deferred Correction Methods for Forward Backward Stochastic Differential Equations 期刊论文
NUMERICAL MATHEMATICS-THEORY METHODS AND APPLICATIONS, 2017, 卷号: 10, 期号: 2, 页码: 222-242
作者:  Tang, Tao;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载：148/0  |  提交时间：2018/07/30
Deferred correction method  forward backward stochastic differential equations  Euler method  high-order scheme  
Cascadic multigrid methods for parabolic problems 期刊论文
SCIENCE IN CHINA SERIES A-MATHEMATICS, 2008, 卷号: 51, 期号: 8, 页码: 1415-1439
作者:  Du Qiang;  Ming PingBing
收藏  |  浏览/下载：129/0  |  提交时间：2018/07/30
cascadic multigrid method  parabolic problem  finite element methods  backward Euler scheme  smoother  stability  optimal error order  optimal complexity