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Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations.
Michael B. Giles
Mateusz B. Majka
Lukasz Szpruch
Sebastian J. Vollmer
Konstantinos C. Zygalakis
Published in:
Stat. Comput. (2020)
Keyphrases
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monte carlo methods
stochastic differential equations
monte carlo
bayesian networks
simulated annealing
brownian motion
maximum a posteriori estimation
image processing
dynamic programming
probability distribution
markov chain
particle filter
model selection
queueing networks
additive gaussian noise