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The Optimal Discretization of Stochastic Differential Equations.

Norbert HofmannThomas Müller-GronbachKlaus Ritter
Published in: J. Complex. (2001)
Keyphrases
  • stochastic differential equations
  • optimal solution
  • dynamic programming
  • brownian motion
  • multiresolution
  • probability distribution
  • higher order
  • asymptotically optimal
  • maximum a posteriori estimation