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中国科学院数学与系统科学研究院机构知识库
KMS Of Academy of mathematics and systems sciences, CAS
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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
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View/Download:97/0
  |  
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
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View/Download:126/0
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Submit date:2020/06/30
Cox-Ingersoll-Ross model
Fractional Brownian motion
Backward Euler scheme
Optimal strong convergence rate
Malliavin calculus
Optimal regularity of stochastic evolution equations in M-type 2 Banach space
期刊论文
JOURNAL OF DIFFERENTIAL EQUATIONS, 2019, 卷号: 267, 期号: 3, 页码: 1955-1971
Authors:
Hong, Jialin
;
Huang, Chuying
;
Liu, Zhihui
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View/Download:151/0
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Submit date:2020/01/10
Stochastic evolution equation
Multiplicative noise
Well-posedness
Trajectory regularity
Factorization method
Symplectic Runge-Kutta methods for Hamiltonian systems driven by Gaussian rough paths
期刊论文
APPLIED NUMERICAL MATHEMATICS, 2018, 卷号: 129, 页码: 120-136
Authors:
Hong, Jialin
;
Huang, Chuying
;
Wang, Xu
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View/Download:109/0
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Submit date:2018/07/30
Rough path
Hamiltonian system
Symplectic Runge-Kutta method
Implicit method
Pathwlse convergence rate