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Optimal simulation schemes for Lévy driven stochastic differential equations.

Arturo Kohatsu-HigaSalvador Ortiz-LatorrePeter Tankov
Published in: Math. Comput. (2014)
Keyphrases
  • stochastic differential equations
  • fractional brownian motion
  • maximum a posteriori estimation
  • mathematical model
  • multiscale
  • dynamic programming
  • probabilistic model
  • markov random field