Optimal stopping of conditional McKean-Vlasov jump diffusions.

Nacira Agram Bernt Øksendal

Published in: Syst. Control. Lett. (2024)

Keyphrases

optimal stopping
brownian motion
stochastic process
differential equations
optimal control
markov chain
diffusion process
poisson process
vector valued
heavy traffic
stochastic processes
closed form solutions
queue length
finite horizon
lead time
inventory level
dynamical systems
steady state
non stationary