Regularity of the Optimal Stopping Problem for Jump Diffusions.
Erhan BayraktarHao XingPublished in: SIAM J. Control. Optim. (2012)
Keyphrases
- optimal stopping
- brownian motion
- stochastic process
- markov chain
- differential equations
- optimal control
- vector valued
- diffusion process
- poisson process
- stochastic processes
- heavy traffic
- queue length
- closed form solutions
- steady state
- special case
- heavy tailed
- machine learning
- anisotropic diffusion
- linear programming
- control system
- image processing
- learning algorithm