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Controlling the Time Discretization Bias for the Supremum of Brownian Motion.
Krzysztof Bisewski
Daan Crommelin
Michel Mandjes
Published in:
ACM Trans. Model. Comput. Simul. (2018)
Keyphrases
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brownian motion
optimal stopping
differential equations
stochastic process
diffusion process
optimal control
poisson process
stochastic processes
vector valued
gray scale
queue length
closed form solutions
heavy traffic
stochastic differential equations
inventory level
arrival rate
markov chain
dynamic programming