“…The constants θ , σ and κ characterize the long-term mean, the volatility and the speed of adjustment, respectively. In the classical case, B is assumed to be the standard Brownian motion and there is an amount of articles devoted to numerical approximations and their strong convergence rates for (1); see [1,2,3,6,10,12,18,24] and references therein. According to the memory phenomena in the real market, an appropriate modification (see e.g.…”