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An Euler-Poisson scheme for Lévy driven stochastic differential equations.
Albert Ferreiro-Castilla
Andreas E. Kyprianou
Robert Scheichl
Published in:
J. Appl. Probab. (2016)
Keyphrases
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stochastic differential equations
fractional brownian motion
long range
non stationary
fractal dimension
financial markets
random fields
maximum a posteriori estimation
multiresolution
brownian motion
additive gaussian noise
denoising
maximum likelihood
stochastic processes