Exact Optimal Stopping for Multidimensional Linear Switching Diffusions.
Philip A. ErnstHongwei MeiPublished in: Math. Oper. Res. (2023)
Keyphrases
- optimal stopping
- brownian motion
- closed form solutions
- stochastic process
- differential equations
- optimal control
- diffusion process
- poisson process
- stochastic processes
- heavy traffic
- vector valued
- finite horizon
- queue length
- machine learning
- anisotropic diffusion
- closed form
- multiscale
- image segmentation
- dynamic programming
- special case
- objective function