Maximum principles for jump diffusion processes with infinite horizon.
Sven HaademBernt ØksendalFrank ProskePublished in: Autom. (2013)
Keyphrases
- infinite horizon
- diffusion processes
- diffusion process
- finite horizon
- long run
- optimal control
- stochastic demand
- optimal policy
- markov decision processes
- denoising
- information diffusion
- lead time
- partial differential equations
- dynamic programming
- anisotropic diffusion
- state space
- average cost
- diffusion tensor
- total variation
- markov chain
- nonlinear diffusion
- scale spaces
- diffusion equation
- image processing
- reinforcement learning
- structure tensor
- search space
- high order
- probabilistic model
- level set
- decision making