A Fluid Introduction to Brownian Motion and Stochastic Integration.
Vaidyanathan RamaswamiPublished in: MAM (2011)
Keyphrases
- brownian motion
- stochastic process
- optimal stopping
- differential equations
- optimal control
- stochastic processes
- diffusion process
- poisson process
- stochastic differential equations
- vector valued
- heavy traffic
- markov chain
- stochastic model
- closed form solutions
- queue length
- monte carlo
- dynamic programming
- multiscale
- arrival rate
- dynamical systems
- control system