Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas.

Emmanuel Gobet Adrien Richou Lukasz Szpruch

Published in: CoRR (2024)

Keyphrases

stochastic differential equations
markov chain
brownian motion
maximum a posteriori estimation
stationary distribution
image processing
maximum likelihood
steady state
closed form
queueing networks
fractional brownian motion