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Preserving positivity in solutions of discretised stochastic differential equations.
John A. D. Appleby
Malgorzata Guzowska
Cónall Kelly
Alexandra Rodkina
Published in:
Appl. Math. Comput. (2010)
Keyphrases
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stochastic differential equations
maximum a posteriori estimation
fractional brownian motion
optimal solution
cost function
dynamic programming
brownian motion
objective function
non stationary