Exact simulation of multidimensional reflected Brownian motion.

Jose H. Blanchet Karthyek Rajhaa A. M.

Published in: J. Appl. Probab. (2018)

Keyphrases

brownian motion
optimal stopping
stochastic process
differential equations
stochastic differential equations
poisson process
stochastic processes
diffusion process
optimal control
vector valued
queue length
image processing
special case
markov random field
kernel function
closed form solutions