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Approximating and Simulating Multivalued Stochastic Differential Equations.
Dominique Lépingle
Nguyen T. Thao
Published in:
Monte Carlo Methods Appl. (2004)
Keyphrases
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stochastic differential equations
maximum a posteriori estimation
brownian motion
additive gaussian noise
fractional brownian motion
stochastic process
non stationary
optimal control
long range
heavy traffic