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Peak Value-at-Risk Estimation for Stochastic Differential Equations Using Occupation Measures.

Jared MillerMatteo TacchiMario SznaierAshkan Jasour
Published in: CDC (2023)
Keyphrases
  • stochastic differential equations
  • maximum a posteriori estimation
  • brownian motion
  • fractional brownian motion
  • risk management
  • image processing
  • multiscale
  • fractal dimension