Improved Simulation for the Killed Brownian Motion in a Cone.

Stéphane Menozzi

Published in: SIAM J. Numer. Anal. (2006)

Keyphrases

brownian motion
differential equations
stochastic process
optimal stopping
optimal control
stochastic differential equations
diffusion process
stochastic processes
vector valued
poisson process
heavy traffic
queue length
learning algorithm
image processing
parameter estimation