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Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations.

Martin HutzenthalerArnulf JentzenXiaojie Wang
Published in: Math. Comput. (2018)
Keyphrases
  • stochastic differential equations
  • maximum a posteriori estimation
  • brownian motion
  • additive gaussian noise
  • fractional brownian motion
  • optimal control
  • special case
  • higher order
  • closed form
  • stochastic processes