Kunita-Watanabe inequalities and Tanaka formula for multi-dimensional G-Brownian motion.
Defei ZhangPing HeXinsong YangPublished in: Appl. Math. Comput. (2011)
Keyphrases
- brownian motion
- multi dimensional
- optimal stopping
- differential equations
- stochastic process
- optimal control
- diffusion process
- poisson process
- vector valued
- stochastic processes
- heavy traffic
- sufficient conditions
- queue length
- closed form solutions
- markov chain
- stochastic differential equations
- asymptotically optimal
- arrival rate
- control strategy
- partial differential equations
- high dimensional
- reinforcement learning