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On Weak Approximation of Stochastic Differential Equations through Hard Bounds by Mathematical Programming.
Kenji Kashima
Reiichiro Kawai
Published in:
SIAM J. Sci. Comput. (2013)
Keyphrases
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mathematical programming
stochastic differential equations
linear programming
stationary points
lower bound
combinatorial optimization
maximum a posteriori estimation
brownian motion
mixed integer linear
closed form
computational complexity
traveling salesman problem
asymptotically optimal