Optimal coupling of jumpy Brownian motion on the circle.

Stephen B. Connor Roberta Merli

Published in: J. Appl. Probab. (2024)

Keyphrases

brownian motion
optimal stopping
optimal control
stochastic process
diffusion process
poisson process
differential equations
closed form solutions
dynamic programming
closed form
stochastic processes
heavy traffic
stochastic differential equations
multiscale
heavy tailed
regression model
optimal solution