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

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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 with Hurst parameter $…