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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.NA2021

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…