On the Approximation and Simulation of Iterated Stochastic Integrals and the Corresponding Lévy Areas in Terms of a Multidimensional Brownian Motion.
Jan MrongowiusAndreas RößlerPublished in: CoRR (2021)
Keyphrases
- brownian motion
- stochastic process
- stochastic differential equations
- differential equations
- poisson process
- optimal control
- heavy traffic
- stochastic processes
- closed form solutions
- vector valued
- diffusion process
- fractional brownian motion
- queueing networks
- stochastic model
- reinforcement learning
- queue length
- closed form
- dynamical systems
- steady state
- monte carlo