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Explicit Milstein schemes with truncation for nonlinear stochastic differential equations: Convergence and its rate.
Xiaoyue Li
George Yin
Published in:
J. Comput. Appl. Math. (2020)
Keyphrases
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stochastic differential equations
maximum a posteriori estimation
brownian motion
additive gaussian noise
fractional brownian motion
bayesian networks
non stationary
diffusion process