Brownian Motion in Dire Straits.
David HolcmanZeev SchussPublished in: Multiscale Model. Simul. (2012)
Keyphrases
- brownian motion
- optimal stopping
- differential equations
- stochastic process
- optimal control
- diffusion process
- poisson process
- stochastic processes
- vector valued
- heavy traffic
- queue length
- closed form solutions
- stochastic model
- stochastic differential equations
- inventory level
- arrival rate
- special case
- infinite horizon
- control strategy
- random variables
- scale space
- reinforcement learning
- multiscale
- bayesian networks