Research on Geometric Brownian motion and its practice in pricing.

Jingheng Song Zhiqi Duan Wenting Lyu

Published in: ASSE (2022)

Keyphrases

brownian motion
optimal stopping
differential equations
stochastic process
optimal control
diffusion process
poisson process
stochastic processes
heavy traffic
vector valued
queue length
markov chain
closed form solutions
stochastic differential equations
reinforcement learning