On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions.
Cheng CaiTiziano De AngelisJan PalczewskiPublished in: SIAM J. Control. Optim. (2023)
Keyphrases
- optimal stopping
- brownian motion
- stochastic process
- differential equations
- markov chain
- optimal control
- vector valued
- diffusion process
- poisson process
- heavy traffic
- stochastic processes
- queue length
- finite horizon
- closed form solutions
- steady state
- stochastic model
- queueing networks
- machine learning
- probability distribution
- dynamic programming
- image processing