37 citations · 88 across the 9 of their papers we have counts for
9 papers
Strong convergence rate of the Euler scheme for SDEs driven by additive rough fractional noises
Chuying Huang, Xu Wang
The strong convergence rate of the Euler scheme for SDEs driven by additive fractional Brownian motions is studied, where the fractional Brownian motion has Hurst parameter $H\in(\…
Optimal convergence rate of modified Milstein scheme for SDEs with rough fractional diffusions
Chuying Huang
We combine the rough path theory and stochastic backward error analysis to develop a new framework for error analysis on numerical schemes. Based on our approach, we prove that the…
Super-convergence analysis on exponential integrator for stochastic heat equation driven by additive fractional Brownian motion
Jialin Hong, Chuying Huang
In this paper, we consider the strong convergence order of the exponential integrator for the stochastic heat equation driven by an additive fractional Brownian motion with Hurst p…
Stochastic modified equations for symplectic methods applied to rough Hamiltonian systems based on the Wong--Zakai approximation
Chuchu Chen, Jialin Hong, Chuying Huang
We investigate the stochastic modified equation which plays an important role in the stochastic backward error analysis for explaining the mathematical mechanism of a numerical met…
Optimal Strong Convergence Rate of a Backward Euler Type Scheme for the Cox--Ingersoll--Ross Model Driven by Fractional Brownian Motion
Jialin Hong, Chuying Huang, Minoo Kamrani +1
In this paper, we investigate the optimal strong convergence rate of numerical approximations for the Cox--Ingersoll--Ross model driven by fractional Brownian motion with Hurst par…
Strong convergence of numerical discretizations for semilinear stochastic evolution equations driven by multiplicative white noise
Jialin Hong, Chuying Huang, Zhihui Liu
For semilinear stochastic evolution equations whose coefficients are more general than the classical global Lipschitz, we present results on the strong convergence rates of numeric…
Strong convergence rate of Runge--Kutta methods and simplified step- Euler schemes for SDEs driven by fractional Brownian motions
Jialin Hong, Chuying Huang, Xu Wang
This paper focuses on the strong convergence rate of both Runge--Kutta methods and simplified step- Euler schemes for stochastic differential equations driven by multi-dimension…
Optimal Regularity of Stochastic Evolution Equations in M-type 2 Banach Spaces
Jialin Hong, Chuying Huang, Zhihui Liu
In this paper, we prove the well-posedness and op- timal trajectory regularity for the solution of stochastic evolution equations driven by general multiplicative noises in marting…
Symplectic Runge-Kutta Methods for Hamiltonian Systems Driven by Gaussian Rough Paths
Jialin Hong, Chuying Huang, Xu Wang
We consider Hamiltonian systems driven by multi-dimensional Gaussian processes in rough path sense, which include fractional Brownian motions with Hurst parameter .…