On occupation times of the first and third quadrants for planar Brownian motion.

Philip A. Ernst Larry Shepp

Published in: J. Appl. Probab. (2017)

Keyphrases

brownian motion
optimal stopping
differential equations
diffusion process
stochastic process
optimal control
poisson process
stochastic processes
heavy traffic
vector valued
queue length
stochastic differential equations
steady state
closed form solutions