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Strong rate of convergence for the Euler-Maruyama approximation of one-dimensional stochastic differential equations involving the local time at point zero.
Mohsine Benabdallah
Kamal Hiderah
Published in:
Monte Carlo Methods Appl. (2018)
Keyphrases
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stochastic differential equations
maximum a posteriori estimation
brownian motion
additive gaussian noise
differential equations
closed form
denoising
fractional brownian motion
multiscale
markov chain
diffusion process
queueing networks