Closed-Form Optimal Strategies of Continuous-Time Options with Stochastic Differential Equations.
Wei YanPublished in: Complex. (2017)
Keyphrases
- closed form
- stochastic differential equations
- optimal strategy
- brownian motion
- maximum a posteriori estimation
- closed form solutions
- decision problems
- monte carlo
- expected cost
- hyperparameters
- additive gaussian noise
- fractional brownian motion
- differential equations
- mathematical models
- stochastic process
- point correspondences
- optimal control
- diffusion process
- computational complexity
- image denoising
- non stationary
- denoising