37 citations · 44 across the 4 of their papers we have counts for
4 papers
Exponential Euler method for stiff stochastic differential equations with additive fractional Brownian noise
Minoo Kamrani, Kristian Debrabant, Nahid Jamshidi
We discuss a system of stochastic differential equations with a stiff linear term and additive noise driven by fractional Brownian motions (fBms) with Hurst parameter H>1/2, which…
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…
Numerically Computable A Posteriori-Bounds for stochastic Allen-Cahn equation
Dirk Blömker, Minoo Kamrani
The aim of this paper is the derivation of an a-posteriori error estimate for a numerical method based on an exponential scheme in time and spectral Galerkin methods in space. We o…
Numerical Solution of Stochastic Partial Differential Equations with Correlated Noise
Dirk Blömker, Minoo Kamrani
In this paper we investigate the numerical solution of stochastic partial differential equations (SPDEs) for a wider class of stochastic equations. We focus on non-diagonal colored…