Sticky Brownian Motion and its Numerical Solution.
Nawaf Bou-RabeeMiranda C. Holmes-CerfonPublished in: CoRR (2019)
Keyphrases
- brownian motion
- numerical solution
- differential equations
- dynamical systems
- stochastic process
- partial differential equations
- numerical methods
- optimal control
- diffusion process
- stochastic processes
- vector valued
- queue length
- objective function
- high order
- higher order
- heavy traffic
- dynamic programming
- special case
- poisson process
- multiresolution