An impulse control of a geometric Brownian motion with quadratic costs.

Masamitsu Ohnishi Motoh Tsujimura

Published in: Eur. J. Oper. Res. (2006)

Keyphrases

brownian motion
optimal control
diffusion process
stochastic process
control system
control strategy
stochastic processes
poisson process
objective function
computational complexity
differential equations
total cost
image processing
image segmentation
vector valued