Numerical methods for nonlinear stochastic differential equations with jumps.
Desmond J. HighamPeter E. KloedenPublished in: Numerische Mathematik (2005)
Keyphrases
- numerical methods
- stochastic differential equations
- brownian motion
- differential equations
- maximum a posteriori estimation
- partial differential equations
- markov chain
- additive gaussian noise
- fractional brownian motion
- high order
- optimal control
- diffusion process
- non stationary
- dynamical systems
- computer vision
- level set method
- object recognition
- reinforcement learning
- multiscale