Stabilized multilevel Monte Carlo method for stiff stochastic differential equations.
Assyr AbdulleAdrian BlumenthalPublished in: J. Comput. Phys. (2013)
Keyphrases
- monte carlo method
- stochastic differential equations
- markov chain
- monte carlo
- maximum a posteriori estimation
- brownian motion
- bayesian learning
- genetic algorithm
- additive gaussian noise
- posterior distribution
- maximum likelihood estimation
- gaussian distribution
- fractional brownian motion
- maximum likelihood
- maximum a posteriori
- generalized gaussian
- diffusion process
- optical flow
- noise level
- long range
- mathematical models
- optimal control
- noisy images
- topic models
- non stationary
- higher order
- denoising
- least squares
- state space
- multiscale