The Laplace Transform of Hitting Times of Integrated Geometric Brownian Motion.
Adam MetzlerPublished in: J. Appl. Probab. (2013)
Keyphrases
- brownian motion
- laplace transform
- diffusion process
- stochastic process
- differential equations
- diffusion model
- optimal control
- markov chain
- poisson process
- vector valued
- stochastic processes
- heavy traffic
- stochastic differential equations
- queue length
- higher order
- closed form solutions
- image processing
- control strategy
- dynamical systems
- probability distribution
- supply chain
- bayesian networks