Convergence of numerical solutions to stochastic differential equations with Markovian switching.
Zhencheng FanPublished in: Appl. Math. Comput. (2017)
Keyphrases
- numerical solution
- stochastic differential equations
- brownian motion
- differential equations
- partial differential equations
- maximum a posteriori estimation
- finite element
- numerical methods
- linear systems
- additive gaussian noise
- fractional brownian motion
- higher order
- graphical models
- optimal control
- anisotropic diffusion