A fluid introduction to brownian motion & stochastic integration (abstract only).
V. RamaswamiPublished in: SIGMETRICS Perform. Evaluation Rev. (2012)
Keyphrases
- brownian motion
- stochastic process
- optimal stopping
- differential equations
- stochastic processes
- optimal control
- diffusion process
- poisson process
- vector valued
- stochastic differential equations
- heavy traffic
- markov chain
- queue length
- closed form solutions
- stochastic model
- probability distribution
- dynamic programming
- asymptotically optimal
- special case
- dynamical systems
- cost function