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A First Order Scheme for Backward Doubly Stochastic Differential Equations.
Feng Bao
Yanzhao Cao
Amnon J. Meir
Weidong Zhao
Published in:
SIAM/ASA J. Uncertain. Quantification (2016)
Keyphrases
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stochastic differential equations
maximum a posteriori estimation
brownian motion
higher order
fractional brownian motion
additive gaussian noise
diffusion process