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Continuous Martingales and Brownian Motion (Daniel Revuz and Mare Yor).
Jim Pitman
Published in:
SIAM Rev. (1993)
Keyphrases
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brownian motion
optimal stopping
differential equations
stochastic process
optimal control
poisson process
vector valued
diffusion process
stochastic processes
heavy traffic
stochastic differential equations
queue length
closed form solutions
dynamical systems