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Discretization Error in Simulation of One-dimensional Reflecting Brownian Motion
Discretization Error Simulation One-dimensional Reflecting Brownian Motion
2015/7/8
This paper is concerned with various aspects of the simulation of one-dimensional reflected (or regulated) Brownian motion. The main result shows that the discretization error associated with the Eule...
Discretization-invariant Bayesian inversion and Besov space priors
Inverse problem statistical inversion Bayesian inversion discretizationinvariance reconstruction wavelet
2009/1/27
Bayesian solution of an inverse problem for indirect measurement M =
AU +E is considered, where U is a function on a domain of Rd. Here A is a smoothing
linear operator and E is Gaussian white noise...