Rough path theory provides a rigorous framework to analyse differential equations driven by highly irregular signals, such as those encountered in stochastic differential equations (SDEs). By ...
The Annals of Probability, Vol. 1, No. 4 (Aug., 1973), pp. 674-689 (16 pages) This paper shows that the epsilon entropy in the sup norm of a wide variety of processes with continuous paths on the unit ...
Generating sample paths of stochastic differential equations (SDE) using the Monte Carlo method finds wide applications in financial engineering. Discretization is a popular approximate approach to ...
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