An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE.
Nicole El KarouiMrad MohamedPublished in: SIAM J. Financial Math. (2013)
Keyphrases
- high order
- conservation laws
- partial differential equations
- reaction diffusion
- stochastic systems
- special case
- diffusion equation
- anisotropic diffusion
- np complete
- utility function
- monte carlo
- simple linear
- image denoising
- stochastic model
- nonlinear functions
- level set
- stochastic programming
- computational complexity
- image processing
- nonlinear diffusion
- scale spaces
- nonlinear filters
- numerical integration
- methods in computer vision
- denoising
- neural network
- computer vision
- shock filter
- nonlinear partial differential equations
- stochastic optimization
- stochastic processes
- expected utility
- exact solution
- cellular automata
- sufficient conditions
- scale space
- artificial neural networks