A Semi-Lagrangian method for the weather options of mean-reverting Brownian motion with jump-diffusion.
Wenguang TangShuhua ChangPublished in: Comput. Math. Appl. (2016)
Keyphrases
- brownian motion
- lagrangian method
- stochastic process
- differential equations
- optimal control
- diffusion process
- poisson process
- stochastic processes
- heavy traffic
- vector valued
- queue length
- closed form solutions
- lagrange multipliers
- markov chain
- arrival rate
- heavy tailed
- stochastic model
- objective function
- linear program
- support vector machine
- state space
- optical flow