Digital Signal Processing (DSP) was, a few decades ago, a relatively obscure field associated with the mathematics of numerical analysis. As computers have become cheaper and faster, it is now ...

The Annals of Applied Probability, Vol. 25, No. 4 (August 2015), pp. 2301-2338 (38 pages) We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton–Jacobi–Bellman (HJB) ...