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Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations.
Martin Hutzenthaler
Arnulf Jentzen
Thomas Kruse
Tuan Anh Nguyen
Published in:
J. Num. Math. (2023)
Keyphrases
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stochastic differential equations
maximum a posteriori estimation
brownian motion
fractional brownian motion
additive gaussian noise
closed form
diffusion process
image processing
multiscale
multiresolution
optimal control
closed form solutions
queueing networks
heavy traffic