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The fully implicit stochastic-α method for stiff stochastic differential equations.

Sk. Safique AhmadNigam Chandra ParidaSoumyendu Raha
Published in: J. Comput. Phys. (2009)
Keyphrases
  • cost function
  • dynamic programming
  • probabilistic model
  • error rate
  • stochastic differential equations
  • maximum a posteriori estimation