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math.PR2024
Exponential Euler method for stiff SDEs driven by fractional Brownian motion
Haozhe Chen, Zhaotong Shen, Qian Yu
In a recent paper by Kamrani et al. (2024), exponential Euler method for stiff stochastic differential equations with additive fractional Brownian noise was discussed, and the conv…
math.PR2024
Fractional derivatives of local times for some Gaussian processes
Minhao Hong, Qian Yu
In this article, we consider fractional derivatives of local time for dimensional centered Gaussian processes satisfying certain strong local nondeterminism property. We first…