Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients.
G. N. MilsteinMichael V. TretyakovPublished in: SIAM J. Numer. Anal. (2005)
Keyphrases
- numerical integration
- stochastic differential equations
- differential equations
- brownian motion
- ordinary differential equations
- linear combination
- maximum a posteriori estimation
- basis functions
- zernike moments
- wavelet coefficients
- additive gaussian noise
- probability density
- dynamic systems
- numerical solution
- dynamical systems
- fractional brownian motion
- partial differential equations
- diffusion process
- image processing