most citedDensity Tracking by Quadrature for Stochastic Differential Equations

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stat.CO2016★ 5 cited

Density Tracking by Quadrature for Stochastic Differential Equations

Harish S. Bhat, R. W. M. A. Madushani

We develop and analyze a method, density tracking by quadrature (DTQ), to compute the probability density function of the solution of a stochastic differential equation. The deriva…