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Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift.

Ali Foroush BastaniMahdieh Tahmasebi
Published in: J. Comput. Appl. Math. (2012)
Keyphrases
  • stochastic differential equations
  • constrained optimization
  • cost function
  • dynamic programming
  • objective function
  • pairwise
  • control system