On the double Laplace transform of the truncated variation of a Brownian motion with drift.
Rafal M. LochowskiPublished in: LMS J. Comput. Math. (2016)
Keyphrases
- brownian motion
- laplace transform
- diffusion process
- differential equations
- diffusion model
- stochastic process
- optimal control
- poisson process
- stochastic processes
- vector valued
- heavy traffic
- closed form solutions
- queue length
- stochastic differential equations
- arrival rate
- dynamic programming
- inventory level
- image enhancement
- markov chain