Can properly discounted projects follow geometric Brownian motion?
Juho KanniainenPublished in: Math. Methods Oper. Res. (2009)
Keyphrases
- brownian motion
- optimal stopping
- differential equations
- optimal control
- stochastic process
- diffusion process
- poisson process
- infinite horizon
- heavy traffic
- vector valued
- stochastic processes
- dynamic programming
- queue length
- closed form solutions
- markov decision processes
- stochastic differential equations
- finite horizon
- heavy tailed
- model selection
- stochastic model
- steady state
- inventory level
- arrival rate