Approximation of SDEs - a stochastic sewing approach.
Oleg ButkovskyKonstantinos DareiotisMáté GerencsérPublished in: CoRR (2019)
Keyphrases
- discrete random variables
- stage stochastic programs
- approximation schemes
- monte carlo sampling
- monte carlo
- approximation error
- error bounds
- stochastic model
- relative error
- queueing networks
- error tolerance
- approximation methods
- data mining
- approximation algorithms
- closed form
- rough sets
- hidden markov models
- clustering algorithm
- genetic algorithm