On quasi-Monte Carlo simulation of stochastic differential equations.
Norbert HofmannPeter MathéPublished in: Math. Comput. (1997)
Keyphrases
- monte carlo simulation
- stochastic differential equations
- brownian motion
- maximum a posteriori estimation
- monte carlo
- markov chain
- stochastic process
- additive gaussian noise
- fractional brownian motion
- optimal control
- stochastic processes
- heavy traffic
- vector valued
- least squares
- differential equations
- diffusion process