Empirical Regression Method for Backward Doubly Stochastic Differential Equations.
Achref BachouchEmmanuel GobetAnis MatoussiPublished in: SIAM/ASA J. Uncertain. Quantification (2016)
Keyphrases
- stochastic differential equations
- regression method
- maximum a posteriori estimation
- brownian motion
- additive gaussian noise
- fractional brownian motion
- regression model
- linear regression
- partial least squares
- regression analysis
- support vector regression
- machine learning
- support vector machine
- kernel function
- knn
- stochastic process
- long range
- differential equations
- optimal control
- heavy traffic
- noisy images
- model selection
- expectation maximization
- high dimensional
- computer vision