Stochastic Boundary Crossing Probabilities for the Brownian Motion.
Xiaonan CheAngelos DassiosPublished in: J. Appl. Probab. (2013)
Keyphrases
- brownian motion
- stochastic process
- differential equations
- stochastic processes
- optimal control
- diffusion process
- poisson process
- vector valued
- stochastic differential equations
- probability distribution
- heavy traffic
- closed form solutions
- queue length
- markov chain
- transition probabilities
- heavy tailed
- stochastic model
- objective function
- inventory level
- anisotropic diffusion
- optical flow