An occupation time identity for reflecting Brownian motion with drift.
Marina KozlovaPaavo SalminenPublished in: Period. Math. Hung. (2005)
Keyphrases
- brownian motion
- optimal stopping
- stochastic process
- differential equations
- optimal control
- diffusion process
- stochastic processes
- heavy traffic
- poisson process
- vector valued
- queue length
- closed form solutions
- markov chain
- stochastic differential equations
- concept drift
- dynamical systems
- stochastic model
- partial differential equations
- level set
- markov random field
- cost function
- image segmentation
- image processing