Weak variable step-size Euler schemes for stochastic differential equations based on controlling conditional moments.
Carlos M. MoraJuan Carlos JimenezMónica SelvaPublished in: CoRR (2020)
Keyphrases
- stochastic differential equations
- maximum a posteriori estimation
- variable step size
- brownian motion
- fractional brownian motion
- step size
- convergence rate
- non stationary
- additive gaussian noise
- blind source separation
- long range
- stochastic process
- convergence speed
- stochastic processes
- differential equations
- gaussian distribution
- image processing
- heavy traffic
- image denoising
- denoising