A step size control algorithm for the weak approximation of stochastic differential equations.
Dominique KüpperJürgen LehnAndreas RößlerPublished in: Numer. Algorithms (2007)
Keyphrases
- control algorithm
- step size
- stochastic differential equations
- convergence rate
- control system
- convergence speed
- cost function
- brownian motion
- control strategy
- maximum a posteriori estimation
- single neuron
- gradient method
- wavelet coefficients
- closed form
- optimal control
- mathematical model
- multi objective
- objective function
- similarity measure
- genetic algorithm