Machine learning classification of multifractional Brownian motion realizations.
Lyudmyla KirichenkoVitalii BulakhTamara RadivilovaPublished in: CMIS (2020)
Keyphrases
- brownian motion
- machine learning
- stochastic process
- differential equations
- stochastic processes
- optimal control
- diffusion process
- poisson process
- vector valued
- closed form solutions
- heavy traffic
- queue length
- random variables
- model selection
- control strategy
- stochastic model
- markov chain
- reinforcement learning
- inventory level
- multiscale