Cited by 19
Fractional Cox–Ingersoll–Ross process with non-zero «mean»

APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL
YULIYA MISHURA, ANTON YURCHENKO-TYTARENKO
Journal:  International Journal of Theoretical and Applied Finance Volume 23, Issue 05 (2020), p. 2050031
CEV model equipped with the long-memory
Somayeh Fallah, Farshid Mehrdoust
Journal:  Journal of Computational and Applied Mathematics Volume 389 (2021), p. 113359
CEV model equipped with the long-memory
Somayeh Fallah, Farshid Mehrdoust
Journal:  Journal of Computational and Applied Mathematics Volume 389 (2021), p. 113359
Evaluation of integrals with fractional Brownian motion for different Hurst indices
Fei Gao, Shuaiqiang Liu, Cornelis W. Oosterlee, Nico M. Temme
Journal:  International Journal of Computer Mathematics (2023), p. 1
Evaluation of integrals with fractional Brownian motion for different Hurst indices
Fei Gao, Shuaiqiang Liu, Cornelis W. Oosterlee, Nico M. Temme
Journal:  International Journal of Computer Mathematics (2023), p. 1
Pub. online: 21 Dec 2018      Type: Research Article      Open accessOpen Access
Journal:  Modern Stochastics: Theory and Applications Volume 6, Issue 1 (2019), pp. 13–39
   Abstract
Optimal strong convergence rate of a backward Euler type scheme for the Cox–Ingersoll–Ross model driven by fractional Brownian motion
Jialin Hong, Chuying Huang, Minoo Kamrani, Xu Wang
Journal:  Stochastic Processes and their Applications Volume 130, Issue 5 (2020), p. 2675
Optimal strong convergence rate of a backward Euler type scheme for the Cox–Ingersoll–Ross model driven by fractional Brownian motion
Jialin Hong, Chuying Huang, Minoo Kamrani, Xu Wang
Journal:  Stochastic Processes and their Applications Volume 130, Issue 5 (2020), p. 2675
Pathwise Convergent Approximation for the Fractional SDEs
Kęstutis Kubilius, Aidas Medžiūnas
Journal:  Mathematics Volume 10, Issue 4 (2022), p. 669
Pathwise Convergent Approximation for the Fractional SDEs
Kęstutis Kubilius, Aidas Medžiūnas
Journal:  Mathematics Volume 10, Issue 4 (2022), p. 669
Positive Solutions of the Fractional SDEs with Non-Lipschitz Diffusion Coefficient
Kęstutis Kubilius, Aidas Medžiūnas
Journal:  Mathematics Volume 9, Issue 1 (2020), p. 18
Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes
Yuliya Mishura, Anton Yurchenko-Tytarenko
Journal:  Stochastics (2022), p. 1
Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes
Yuliya Mishura, Anton Yurchenko-Tytarenko
Journal:  Stochastics (2022), p. 1
Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation
Shao-Qin Zhang, Chenggui Yuan
Journal:  Proceedings of the Royal Society of Edinburgh: Section A Mathematics Volume 151, Issue 4 (2021), p. 1278
Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation
Shao-Qin Zhang, Chenggui Yuan
Journal:  Proceedings of the Royal Society of Edinburgh: Section A Mathematics Volume 151, Issue 4 (2021), p. 1278
The Fokker–Planck equation for the time-changed fractional Ornstein–Uhlenbeck stochastic process
Giacomo Ascione, Yuliya Mishura, Enrica Pirozzi
Journal:  Proceedings of the Royal Society of Edinburgh: Section A Mathematics (2021), p. 1
The Fokker–Planck equation for the time-changed fractional Ornstein–Uhlenbeck stochastic process
Giacomo Ascione, Yuliya Mishura, Enrica Pirozzi
Journal:  Proceedings of the Royal Society of Edinburgh: Section A Mathematics Volume 152, Issue 4 (2022), p. 1032
Time-changed fractional Ornstein-Uhlenbeck process
Giacomo Ascione, Yuliya Mishura, Enrica Pirozzi
Journal:  Fractional Calculus and Applied Analysis Volume 23, Issue 2 (2020), p. 450
Time-changed fractional Ornstein-Uhlenbeck process
Giacomo Ascione, Yuliya Mishura, Enrica Pirozzi
Journal:  Fractional Calculus and Applied Analysis Volume 23, Issue 2 (2020), p. 450