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Adaptive timestepping for pathwise stability and positivity of strongly discretised nonlinear stochastic differential equations.
Cónall Kelly
Alexandra Rodkina
Eeva Maria Rapoo
Published in:
J. Comput. Appl. Math. (2018)
Keyphrases
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stochastic differential equations
maximum a posteriori estimation
brownian motion
fractional brownian motion
additive gaussian noise