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Multi-level Monte Carlo methods with the truncated Euler-Maruyama scheme for stochastic differential equations.
Qian Guo
Wei Liu
Xuerong Mao
Weijun Zhan
Published in:
Int. J. Comput. Math. (2018)
Keyphrases
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monte carlo methods
stochastic differential equations
monte carlo
maximum a posteriori estimation
brownian motion
simulated annealing
stochastic process
bayesian networks
differential equations
additive gaussian noise
fractional brownian motion