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Maximizing the pth moment of the exit time of planar brownian motion from a given domain.

Maher BoudabraGreg Markowsky
Published in: J. Appl. Probab. (2020)
Keyphrases
  • brownian motion
  • optimal stopping
  • stochastic process
  • diffusion process
  • stochastic processes
  • heavy traffic
  • optimal control
  • closed form solutions
  • vector valued
  • poisson process
  • markov chain
  • steady state
  • long run