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Maximizing the pth moment of the exit time of planar brownian motion from a given domain.
Maher Boudabra
Greg Markowsky
Published in:
J. Appl. Probab. (2020)
Keyphrases
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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