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Reflected Forward Backward Stochastic Differential Equations and Contingent Claims.
M. Kohlmann
Published in:
Control of Distributed Parameter and Stochastic Systems (1998)
Keyphrases
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forward backward
stochastic differential equations
maximum a posteriori estimation
brownian motion
hidden markov models
fractional brownian motion
additive gaussian noise
non stationary
stochastic process
diffusion process
poisson process
denoising
anisotropic diffusion
state space
maximum entropy
heavy traffic