Convergent Discretization of the Fokker-Planck equation in Higher Dimensions
1 : Mathematics institute, University of Tuebingen
Auf der Morgenstelle 10, D-72076 Tübingen -
Allemagne
2 : Mathematics institute, University of Tuebingen
I present a new algorithm that combines the Euler scheme to solve the
associated SDE with a data-dependent density estimator. I will discuss
its convergence proof, which also employs tools from statistics.
| Type : | : | Résumé |
| PDF version | : |  PDF version |
