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Numerical computation of probabilities for nonlinear SDEs in high dimension using Kolmogorov equation br 期刊论文
APPLIED MATHEMATICS AND COMPUTATION, 2023, 卷号: 436, 页码: 17
Authors:  Flandoli, Franco;  Luo, Dejun;  Ricci, Cristiano
Favorite  |  View/Download:52/0  |  Submit date:2023/02/07
High dimensional Kolmogorov equation  Numerical solution  Iteration scheme  Gaussian process  
A numerical approach to Kolmogorov equation in high dimension based on Gaussian analysis 期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2021, 卷号: 493, 期号: 1, 页码: 29
Authors:  Flandoli, Franco;  Luo, Dejun;  Ricci, Cristiano
Favorite  |  View/Download:162/0  |  Submit date:2021/01/14
Kolmogorov equation  Numerical solution  Iteration schema  Gaussian process