Simulation of Brownian motion at first-passage times.

Zaeem A. Burq Owen D. Jones

Published in: Math. Comput. Simul. (2008)

Keyphrases

brownian motion
differential equations
optimal stopping
stochastic process
optimal control
diffusion process
stochastic processes
poisson process
heavy traffic
stochastic differential equations
closed form solutions
vector valued
image processing
objective function
state space
non stationary