On the strategic origin of Brownian motion in finance.
Bernard De MeyerHadiza Moussa SaleyPublished in: Int. J. Game Theory (2003)
Keyphrases
- brownian motion
- optimal stopping
- differential equations
- stochastic process
- optimal control
- diffusion process
- stochastic processes
- vector valued
- poisson process
- heavy traffic
- closed form solutions
- queue length
- stochastic differential equations
- decision making
- markov chain
- stochastic model
- steady state
- model selection
- graphical models
- dynamic programming