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Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift.
Arturo Kohatsu-Higa
Antoine Lejay
Kazuhiro Yasuda
Published in:
J. Comput. Appl. Math. (2017)
Keyphrases
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stochastic differential equations
maximum a posteriori estimation
brownian motion
differential equations
additive gaussian noise
fractional brownian motion
diffusion process