First Passage Time of Skew Brownian Motion.
Thilanka AppuhamillageDaniel SheldonPublished in: J. Appl. Probab. (2012)
Keyphrases
- brownian motion
- stochastic process
- optimal stopping
- differential equations
- optimal control
- diffusion process
- poisson process
- stochastic processes
- vector valued
- heavy traffic
- queue length
- closed form solutions
- markov chain
- steady state
- stochastic differential equations
- learning algorithm
- arrival rate
- control strategy
- image enhancement
- regression model
- scale space
- graphical models