An Optimal Polynomial Approximation of Brownian Motion.
James FosterTerry J. LyonsHarald OberhauserPublished in: SIAM J. Numer. Anal. (2020)
Keyphrases
- state dependent
- single server
- brownian motion
- queue length
- optimal stopping
- inventory level
- polynomial approximation
- special case
- optimal control
- diffusion process
- poisson process
- pointwise
- closed form solutions
- stochastic process
- differential equations
- vector valued
- constrained optimization
- dynamic programming
- image sequences