Exact Simulation of Non-stationary Reflected Brownian Motion.
Mohammad MousaviPeter W. GlynnPublished in: CoRR (2013)
Keyphrases
- non stationary
- brownian motion
- stochastic differential equations
- fractional brownian motion
- optimal control
- stochastic processes
- stochastic process
- random fields
- differential equations
- vector valued
- diffusion process
- empirical mode decomposition
- heavy traffic
- autoregressive
- queue length
- poisson process
- bayesian networks
- image processing
- wavelet packet
- stock price
- signal processing
- optimal solution