Chuying Huang

activity

20172022

most citedOptimal Strong Convergence Rate of a Backward Euler Type Scheme for the Cox--Ingersoll--Ross Model Driven by Fractional Brownian Motion

37 citations · 88 across the 9 of their papers we have counts for

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Showing 2017 · math.NAShow all

2 papers · 2 filters

math.NA2017★ 21 cited

Strong convergence rate of Runge--Kutta methods and simplified step- $N$ 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- $N$ Euler schemes for stochastic differential equations driven by multi-dimension…

math.NA2017★ 17 cited

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 $H \in (1/4, 1/2]$ .…

Strong convergence rate of Runge--Kutta methods and simplified step-N Euler schemes for SDEs driven by fractional Brownian motions

Symplectic Runge-Kutta Methods for Hamiltonian Systems Driven by Gaussian Rough Paths

Strong convergence rate of Runge--Kutta methods and simplified step- $N$ Euler schemes for SDEs driven by fractional Brownian motions