Error Estimations for the Euler-Maruyama Approximate Solutions of Stochastic Differential Equations.
Shuya KanagawaPublished in: Monte Carlo Methods Appl. (1995)
Keyphrases
- approximate solutions
- stochastic differential equations
- maximum a posteriori estimation
- brownian motion
- np hard
- error rate
- additive gaussian noise
- exact solution
- energy function
- optimal solution
- fractional brownian motion
- differential equations
- gaussian distribution
- long range
- stochastic process
- optimal control
- heavy traffic
- image denoising
- non stationary
- higher order
- computational complexity