Numerical computation of probabilities for nonlinear SDEs in high dimension using Kolmogorov equation (Q2673974)
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scientific article; zbMATH DE number 7589690
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical computation of probabilities for nonlinear SDEs in high dimension using Kolmogorov equation |
scientific article; zbMATH DE number 7589690 |
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Numerical computation of probabilities for nonlinear SDEs in high dimension using Kolmogorov equation (English)
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21 September 2022
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high dimensional Kolmogorov equation
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numerical solution
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iteration scheme
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Gaussian process
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