A regression-based numerical scheme for backward stochastic differential equations.
Deng DingXiaofei LiYiqi LiuPublished in: Comput. Stat. (2017)
Keyphrases
- stochastic differential equations
- numerical scheme
- maximum a posteriori estimation
- anisotropic diffusion
- brownian motion
- partial differential equations
- diffusion process
- level set
- finite difference
- energy functional
- variational methods
- additive gaussian noise
- fractional brownian motion
- gaussian process
- differential equations
- stochastic process
- stochastic processes
- gaussian distribution
- computer vision
- image denoising
- image analysis