Optimal Stopping of Linear Diffusions with Random Discounting.

Published in: Math. Oper. Res. (2008)

Keyphrases

optimal stopping
brownian motion
closed form solutions
differential equations
stochastic process
diffusion process
optimal control
heavy tailed
stochastic processes
poisson process
heavy traffic
vector valued
finite horizon
queue length
anisotropic diffusion
graphical models
search space
markov chain