Confidence bands for Brownian motion and applications to Monte Carlo simulation.
Wilfrid S. KendallJean-Michel MarinChristian P. RobertPublished in: Stat. Comput. (2007)
Keyphrases
- monte carlo simulation
- brownian motion
- stochastic process
- markov chain
- differential equations
- monte carlo
- optimal control
- diffusion process
- poisson process
- vector valued
- stochastic processes
- heavy traffic
- queue length
- frequency domain
- closed form solutions
- stochastic differential equations
- steady state
- anisotropic diffusion
- multiscale
- closed form
- optimal solution