Numerical Solution of Free Stochastic Differential Equations.
Georg SchlüchtermannMichael WibmerPublished in: SIAM J. Numer. Anal. (2023)
Keyphrases
- numerical solution
- stochastic differential equations
- differential equations
- brownian motion
- partial differential equations
- maximum a posteriori estimation
- finite element
- fractional brownian motion
- exact solution
- numerical methods
- long range
- dynamical systems
- lower bound
- multiscale
- curve evolution
- optimal control
- gaussian distribution
- additive gaussian noise