An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion.
Alexander KlumpMartin KolbPublished in: J. Appl. Probab. (2024)
Keyphrases
- brownian motion
- stochastic process
- optimal stopping
- differential equations
- diffusion process
- optimal control
- poisson process
- vector valued
- stochastic processes
- heavy traffic
- stochastic differential equations
- closed form solutions
- queue length
- markov chain
- stochastic model
- inventory level
- asymptotically optimal
- arrival rate
- heavy tailed
- queueing networks
- random fields
- partial differential equations