Lamperti transformation of scaled Brownian motion and related Langevin equations.

Marcin Magdziarz

Published in: Commun. Nonlinear Sci. Numer. Simul. (2020)

Keyphrases

brownian motion
differential equations
optimal stopping
stochastic differential equations
optimal control
closed form solutions
stochastic process
image processing
mathematical model
diffusion process
stochastic processes
vector valued
poisson process