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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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math.NA2018★ 37 cited

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…

math.NA2018

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…