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Optimal Holder continuity and hitting probabilities for SPDEs with rough fractional noises 期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2022, 卷号: 512, 期号: 1, 页码: 21
Authors:  Hong, Jialin;  Liu, Zhihui;  Sheng, Derui
Favorite  |  View/Download：20/0  |  Submit date：2023/02/07
Stochastic partial differential equation  Fractional Brownian sheet  Hurst index H < 1/2  Holder exponent  Hitting probability  
Optimal rate of convergence for two classes of schemes to stochastic differential equations driven by fractional Brownian motions 期刊论文
IMA JOURNAL OF NUMERICAL ANALYSIS, 2021, 卷号: 41, 期号: 2, 页码: 1608-1638
Authors:  Hong, Jialin;  Huang, Chuying;  Wang, Xu
Favorite  |  View/Download：90/0  |  Submit date：2021/10/26
fractional Brownian motion  strong convergence rate  Runge-Kutta method  simplified step-N Euler scheme  
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
Authors:  Hong, Jialin;  Huang, Chuying;  Kamrani, Minoo;  Wang, Xu
Favorite  |  View/Download：118/0  |  Submit date：2020/06/30
Cox-Ingersoll-Ross model  Fractional Brownian motion  Backward Euler scheme  Optimal strong convergence rate  Malliavin calculus  
Finite element approximations for second-order stochastic differential equation driven by fractional Brownian motion 期刊论文
IMA JOURNAL OF NUMERICAL ANALYSIS, 2018, 卷号: 38, 期号: 1, 页码: 184-197
Authors:  Cao, Yanzhao;  Hong, Jialin;  Liu, Zhihui
Favorite  |  View/Download：119/0  |  Submit date：2018/07/30
stochastic differential equation of boundary value type  fractional Brownian motion  piecewise constant approximation  finite element approximation  
APPROXIMATING STOCHASTIC EVOLUTION EQUATIONS WITH ADDITIVE WHITE AND ROUGH NOISES 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2017, 卷号: 55, 期号: 4, 页码: 1958-1981
Authors:  Cao, Yanzhao;  Hong, Jialin;  Liu, Zhihui
Favorite  |  View/Download：88/0  |  Submit date：2018/07/30
stochastic evolution equation  fractional Brownian motion  Wong-Zakai approximation  Galerkin approximation  
Dynamic Hedging Based on Fractional Order Stochastic Model with Memory Effect 期刊论文
MATHEMATICAL PROBLEMS IN ENGINEERING, 2016, 页码: 8
Authors:  Li, Qing;  Zhou, Yanli;  Zhao, Xinquan;  Ge, Xiangyu
Favorite  |  View/Download：68/0  |  Submit date：2018/07/30
Quasi-sure p-variation of fractional Brownian motion 期刊论文
STATISTICS & PROBABILITY LETTERS, 2007, 卷号: 77, 期号: 5, 页码: 543-548
Authors:  Cao, Guilan;  He, Kai
Favorite  |  View/Download：93/0  |  Submit date：2018/07/30
sobolev spiced  fractional Brownian motion  p-variation  quasi-sure convergence  (p, alpha)-modificition  infinity-modificnion  
Functional limit theorems for the increments of Gaussian samples 期刊论文
JOURNAL OF THEORETICAL PROBABILITY, 2005, 卷号: 18, 期号: 2, 页码: 327-343
Authors:  Wang, WS
Favorite  |  View/Download：58/0  |  Submit date：2018/07/30
Gaussian samples  fractional Bowman motion  stationary increment