The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach.
Samuel HerrmannEtienne TanréPublished in: SIAM J. Sci. Comput. (2016)
Keyphrases
- brownian motion
- stochastic process
- optimal stopping
- differential equations
- optimal control
- diffusion process
- poisson process
- stochastic processes
- vector valued
- heavy traffic
- queue length
- closed form solutions
- inventory level
- stochastic model
- markov chain
- stochastic differential equations
- asymptotically optimal
- arrival rate
- dynamic programming
- lead time
- scale space
- special case
- objective function
- reinforcement learning