Yanghui Liu

most citedCrank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions

6 citations · 6 across the 2 of their papers we have counts for

collaborators

2 papers

math.NA2022

Backward Euler method for stochastic differential equations with non-Lipschitz coefficients

Hao Zhou, Yaozhong Hu, Yanghui Liu

We study the traditional backward Euler method for $m$ -dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H > 1/2$ whose drift…

math.PR2017★ 6 cited

Crank-Nicolson scheme for stochastic differential equations driven by fractional Brownian motions

Yaozhong Hu, Yanghui Liu, David Nualart

We study the Crank-Nicolson scheme for stochastic differential equations (SDEs) driven by multidimensional fractional Brownian motion $(B^{1}, \dots, B^{m})$ with Hurst parameter $…