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math.NA2020★ 2 cited
Strong convergence order for the scheme of fractional diffusion equation driven by fractional Gaussion noise
Daxin Nie, Jing Sun, Weihua Deng
Fractional Gaussian noise models the time series with long-range dependence; when the Hurst index , it has positive correlation reflecting a persistent autocorrelation struc…
math.NA2020★ 7 cited
High-order BDF fully discrete scheme for backward fractional Feynman-Kac equation with nonsmooth data
Jing Sun, Daxin Nie, Weihua Deng
The Feynman-Kac equation governs the distribution of the statistical observable -- functional, having wide applications in almost all disciplines. After overcoming challenges from…