Observation noise-gain detection for Markov chains observed through scaled Brownian motion.
William Paul MalcolmAlain BensoussanPublished in: CDC (2008)
Keyphrases
- markov chain
- stochastic process
- brownian motion
- steady state
- finite state
- transition probabilities
- stochastic processes
- stationary distribution
- heavy traffic
- monte carlo
- differential equations
- stochastic model
- noise model
- state space
- diffusion process
- noise level
- vector valued
- poisson process
- autoregressive
- objective function
- single server