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Explicit Milstein schemes with truncation for nonlinear stochastic differential equations: Convergence and its rate.

Xiaoyue LiGeorge Yin
Published in: J. Comput. Appl. Math. (2020)
Keyphrases
  • stochastic differential equations
  • maximum a posteriori estimation
  • brownian motion
  • additive gaussian noise
  • fractional brownian motion
  • bayesian networks
  • non stationary
  • diffusion process