On the use of reverse Brownian motion to accelerate hybrid simulations.

Joseph Bakarji Daniel M. Tartakovsky

Published in: J. Comput. Phys. (2017)

Keyphrases

brownian motion
stochastic process
optimal stopping
differential equations
optimal control
diffusion process
poisson process
stochastic processes
heavy traffic
closed form solutions
vector valued
queue length
dynamical systems
dynamic programming
markov chain
image denoising