hu.liu.ea:21:crank-nicolson¶
BibTeX Entry:
@article{hu.liu.ea:21:crank-nicolson,
author = {Hu, Yaozhong and Liu, Yanghui and Nualart, David},
doi = {10.1214/20-aap1582},
fjournal = {The Annals of Applied Probability},
issn = {1050-5164},
journal = {Ann. Appl. Probab.},
mrclass = {60F17 (60H10 60H35 65C30)},
mrnumber = {4254473},
number = {1},
pages = {39--83},
title = {Crank-{N}icolson scheme for stochastic differential equations driven by fractional {B}rownian motions},
url = {https://doi.org/10.1214/20-aap1582},
volume = {31},
year = {2021}
}