Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion.
Dan PirjolLingjiong ZhuPublished in: Oper. Res. Lett. (2023)
Keyphrases
- brownian motion
- laplace transform
- heavy traffic
- stochastic process
- differential equations
- diffusion process
- markov chain
- optimal control
- queueing networks
- asymptotically optimal
- steady state
- diffusion model
- long run
- poisson process
- stochastic processes
- queue length
- arrival rate
- closed form solutions
- vector valued
- single server
- computer vision
- stochastic differential equations
- bayesian networks