Probability of Brownian Motion Hitting an Obstacle.
Charles KnesslJoseph B. KellerPublished in: SIAM J. Appl. Math. (2000)
Keyphrases
- brownian motion
- optimal stopping
- stochastic process
- differential equations
- optimal control
- diffusion process
- markov chain
- stochastic processes
- poisson process
- vector valued
- heavy traffic
- probability distribution
- queue length
- closed form solutions
- stochastic differential equations
- multiscale
- conditional probabilities
- arrival rate
- stochastic model
- lead time
- mathematical model
- dynamic programming