Continuous-time perpetuities and time reversal of diffusions.

Constantinos Kardaras Scott Robertson

Published in: Finance Stochastics (2017)

Keyphrases

markov chain
optimal control
markov processes
brownian motion
anisotropic diffusion
dynamical systems
vector valued
diffusion processes
iterative learning control
stochastic processes
information systems
image segmentation
stochastic differential equations