Non-Linear Continuous-Discrete Smoothing by Basis Function Expansions of Brownian Motion.
Filip TronarpSimo SärkkäPublished in: FUSION (2018)
Keyphrases
- basis functions
- brownian motion
- vector valued
- linear combination
- stochastic process
- differential equations
- optimal control
- diffusion process
- poisson process
- heavy traffic
- state space
- closed form solutions
- stochastic processes
- stochastic differential equations
- markov chain
- queue length
- asymptotically optimal
- markov random field
- small number
- heavy tailed
- neural network