Numerical Methods for Backward Stochastic Differential Equations: A Survey.
Jared ChessariReiichiro KawaiPublished in: CoRR (2021)
Keyphrases
- stochastic differential equations
- numerical methods
- brownian motion
- differential equations
- maximum a posteriori estimation
- dynamical systems
- partial differential equations
- fractional brownian motion
- additive gaussian noise
- optimal control
- long range
- stochastic process
- constrained optimization
- heavy traffic
- level set method
- image processing
- fractal dimension
- image enhancement
- denoising