Numerical Schemes for Backward Stochastic Differential Equations Driven by $G$-Brownian motion.
Mingshang HuLianzi JiangPublished in: CoRR (2019)
Keyphrases
- stochastic differential equations
- brownian motion
- stochastic process
- differential equations
- optimal control
- diffusion process
- poisson process
- maximum a posteriori estimation
- stochastic processes
- heavy traffic
- vector valued
- queue length
- fractional brownian motion
- arrival rate
- denoising
- closed form solutions
- additive gaussian noise
- long run
- non stationary