Multilevel Picard approximations for high-dimensional decoupled forward-backward stochastic differential equations.
Martin HutzenthalerTuan Anh NguyenPublished in: CoRR (2022)
Keyphrases
- forward backward
- high dimensional
- stochastic differential equations
- maximum a posteriori estimation
- brownian motion
- hidden markov models
- low dimensional
- additive gaussian noise
- fractional brownian motion
- feature space
- diffusion process
- closed form
- noisy images
- kernel function
- differential equations
- poisson process
- special case