Mean-field backward stochastic differential equations and applications.
Nacira AgramYaozhong HuBernt ØksendalPublished in: Syst. Control. Lett. (2022)
Keyphrases
- stochastic differential equations
- maximum a posteriori estimation
- brownian motion
- markov random field
- additive gaussian noise
- fractional brownian motion
- closed form
- bayesian inference
- long range
- em algorithm
- optimal control
- stochastic process
- higher order
- vector valued
- fractal dimension
- posterior distribution
- differential equations
- multiscale