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Upper Error Bounds for Approximations of Stochastic Differential Equations with Markovian Switching.
Norbert Hofmann
Published in:
Algorithms and Complexity for Continuous Problems (2004)
Keyphrases
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error bounds
stochastic differential equations
maximum a posteriori estimation
brownian motion
theoretical analysis
worst case
additive gaussian noise
closed form
fractional brownian motion
upper bound
non stationary
differential equations
optimal control
heavy traffic
stochastic process
vector valued