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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
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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
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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
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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
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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
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Gaussian samples  fractional Bowman motion  stationary increment