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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:
CoRR (2021)
Keyphrases
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stochastic differential equations
maximum a posteriori estimation
brownian motion
fractional brownian motion
additive gaussian noise
long range
diffusion process
closed form
optimal control
error rate
queueing networks
poisson process