Brownian motion, quantum corrections and a generalization of the Hermite polynomials.
Ramón F. Álvarez-EstradaPublished in: J. Comput. Appl. Math. (2010)
Keyphrases
- brownian motion
- optimal stopping
- stochastic process
- differential equations
- diffusion process
- optimal control
- poisson process
- stochastic processes
- queue length
- heavy traffic
- vector valued
- stochastic model
- inventory level
- stochastic differential equations
- closed form solutions
- control strategy
- markov random field
- dynamic programming