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20132023
most citedOptimal Strong Convergence Rate of a Backward Euler Type Scheme for the Cox--Ingersoll--Ross Model Driven by Fractional Brownian Motion

37 citations · 44 across the 4 of their papers we have counts for

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math.PR2023★ 2 cited

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…