Numerical Approximations to the Stationary Solutions of Stochastic Differential Equations.

Andrei Yevik Huaizhong Zhao

Published in: SIAM J. Numer. Anal. (2011)

Keyphrases

stochastic differential equations
maximum a posteriori estimation
brownian motion
fractional brownian motion
non stationary
additive gaussian noise
differential equations
closed form
long range
cost function
wavelet transform
denoising