Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations.
Long TengPublished in: Appl. Math. Comput. (2022)
Keyphrases
- stochastic differential equations
- numerical methods
- gradient boosting
- high dimensional
- brownian motion
- differential equations
- maximum a posteriori estimation
- loss function
- dynamical systems
- additive gaussian noise
- low dimensional
- partial differential equations
- feature space
- fractional brownian motion
- denoising
- noisy images
- object recognition
- diffusion process
- non stationary