On the Backward Euler Approximation of the Stochastic Allen-Cahn Equation.
Mihály KovácsStig LarssonFredrik LindgrenPublished in: J. Appl. Probab. (2015)
Keyphrases
- stochastic differential equations
- differential equations
- brownian motion
- forward and backward
- approximation schemes
- discrete random variables
- maximum a posteriori estimation
- monte carlo sampling
- difference equations
- numerical methods
- numerical integration
- error bounds
- approximation error
- stage stochastic programs
- continuous functions
- bi directional
- temporal reasoning
- monte carlo
- additive gaussian noise
- fractional brownian motion
- stochastic optimization
- data sets
- stochastic process
- stochastic processes
- stochastic model
- numerical solution
- closed form
- non stationary
- forward backward
- approximation algorithms
- dynamical systems