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Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the local times of the unknown process.
Mohsine Benabdallah
Youssfi Elkettani
Kamal Hiderah
Published in:
Monte Carlo Methods Appl. (2016)
Keyphrases
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stochastic differential equations
brownian motion
multiscale
image sequences
cost function
diffusion process