A Monte Carlo method for backward stochastic differential equations with Hermite martingales.
Antoon PelsserKossi GnamehoPublished in: Monte Carlo Methods Appl. (2019)
Keyphrases
- stochastic differential equations
- monte carlo method
- markov chain
- maximum a posteriori estimation
- brownian motion
- monte carlo
- stochastic process
- genetic algorithm
- fractional brownian motion
- additive gaussian noise
- posterior distribution
- long range
- generalized gaussian
- maximum likelihood estimation
- differential equations
- mathematical models
- optimal control
- gaussian distribution
- particle filter
- denoising
- state space
- probability distribution