An Efficient Numerical Method for Forward-Backward Stochastic Differential Equations Driven by G-Brownian motion.
Mingshang HuLianzi JiangPublished in: CoRR (2020)
Keyphrases
- brownian motion
- differential equations
- stochastic differential equations
- stochastic process
- diffusion process
- optimal control
- dynamical systems
- stochastic processes
- poisson process
- heavy traffic
- queue length
- vector valued
- partial differential equations
- anisotropic diffusion
- closed form solutions
- arrival rate
- inventory level
- markov chain