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Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations.
Liangjian Hu
Xiaoyue Li
Xuerong Mao
Published in:
J. Comput. Appl. Math. (2018)
Keyphrases
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convergence rate
gradient method
stochastic differential equations
numerical stability
dynamic programming
step size
maximum a posteriori estimation
reinforcement learning
objective function
k means
cost function
maximum likelihood
non stationary
mathematical model