Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients.
Xuerong MaoLukasz SzpruchPublished in: J. Comput. Appl. Math. (2013)
Keyphrases
- numerical methods
- stochastic differential equations
- differential equations
- brownian motion
- partial differential equations
- maximum a posteriori estimation
- dynamical systems
- level set method
- generalized gaussian
- probability distribution
- higher order
- segmentation method
- anisotropic diffusion
- additive gaussian noise