The approximate solutions of some stochastic differential equations using transformations.
Magdy A. El-TawilPublished in: Appl. Math. Comput. (2005)
Keyphrases
- approximate solutions
- stochastic differential equations
- np hard
- maximum a posteriori estimation
- brownian motion
- exact solution
- fractional brownian motion
- optimal solution
- additive gaussian noise
- special case
- poisson process
- non stationary
- closed form solutions
- linear programming
- stochastic processes
- higher order
- dynamic programming
- objective function