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The Numerical Invariant Measure of Stochastic Differential Equations With Markovian Switching.
Xiaoyue Li
Qianlin Ma
Hongfu Yang
Chenggui Yuan
Published in:
SIAM J. Numer. Anal. (2018)
Keyphrases
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stochastic differential equations
maximum a posteriori estimation
brownian motion
similarity measure
additive gaussian noise
fractional brownian motion
special case
non stationary
multiscale
distance measure
mathematical model
closed form