An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables.
Jirô AkahoriMasahiro KinuyaTakashi SawaiTomooki YuasaPublished in: Math. Comput. Simul. (2021)
Keyphrases
- random variables
- high dimensional
- graphical models
- probability distribution
- bayesian networks
- joint distribution
- conditional independence
- latent variables
- distribution function
- lead time
- low dimensional
- conditional distribution
- belief propagation
- conditional probabilities
- similarity search
- stochastic processes
- probability density
- probabilistic graphical models
- joint probability distribution
- stochastic optimization problems
- normal distribution
- directed acyclic graph
- differential equations
- independent and identically distributed
- probability density function
- conditional distributions
- dimensionality reduction
- random vectors
- feature space