Generalized anticipated backward stochastic differential equations driven by Brownian motion and continuous increasing process.
Wu HaoWang WeifengZhongkai GuoPublished in: Commun. Stat. Simul. Comput. (2018)
Keyphrases
- brownian motion
- stochastic differential equations
- differential equations
- optimal control
- stochastic process
- diffusion process
- poisson process
- heavy traffic
- stochastic processes
- maximum a posteriori estimation
- vector valued
- closed form solutions
- additive gaussian noise
- heavy tailed
- image sequences
- markov chain
- stochastic model
- queue length
- inventory level
- fractional brownian motion
- arrival rate
- dynamical systems
- non stationary
- scale space
- reinforcement learning
- image processing