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Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift.

Arturo Kohatsu-HigaAntoine LejayKazuhiro Yasuda
Published in: J. Comput. Appl. Math. (2017)
Keyphrases
  • stochastic differential equations
  • maximum a posteriori estimation
  • brownian motion
  • differential equations
  • additive gaussian noise
  • fractional brownian motion
  • diffusion process