A dual skew symmetry for transient reflected Brownian motion in an orthant.
Sandro FranceschiKilian RaschelPublished in: Queueing Syst. Theory Appl. (2022)
Keyphrases
- brownian motion
- optimal stopping
- differential equations
- steady state
- stochastic process
- optimal control
- heavy traffic
- queue length
- poisson process
- diffusion process
- vector valued
- stochastic processes
- closed form solutions
- cost function
- markov chain
- stochastic model
- closed form
- heavy tailed
- scale space
- optimal solution
- stochastic differential equations