MODIFIED SPLIT-STEP THETA METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION

Jingjun Zhao, Hao Zhou, Yang Xu

Journal of Computational Mathematics ›› 2024, Vol. 42 ›› Issue (5) : 1226-1245.

中国科学院数学与系统科学研究院期刊网
JCM
Journal of Computational Mathematics ›› 2024, Vol. 42 ›› Issue (5) : 1226-1245. DOI: 10.4208/jcm.2301-m2022-0088

MODIFIED SPLIT-STEP THETA METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Computational Mathematics, 2024, 42(5): 1226-1245 https://doi.org/10.4208/jcm.2301-m2022-0088

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