On the Reflected Geometric Brownian Motion with Two Barriers.

Lidong Zhang Ziping Du

Published in: Intell. Inf. Manag. (2010)

Keyphrases

brownian motion
optimal stopping
stochastic process
differential equations
optimal control
diffusion process
poisson process
stochastic processes
heavy traffic
queue length
vector valued
stochastic differential equations
closed form solutions
inventory level
random variables
dynamic programming
image sequences