most citedPolynomial and exponential stability of -EM approximations to a class of stochastic differential equations

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math.PR2014

The explicit solution and precise distribution of CKLS model under Girsanov transform

Guangqiang Lan, Yunjiao Hu, Chong Zhang

We study the relation between CKLS model and CIR model. We prove that under a suitable transformation, any CKLS model of order or corresponds to a CIR mode…

math.PR2014

Large deviation principle of SDEs with non-Lipschitzian coefficients under localized conditions

Yunjiao Hu, Guangqiang Lan

Localized sufficient conditions for the large deviation principle of the given stochastic differential equations will be presented for stochastic differential equations with non-Li…