Sharp estimates for the hitting probability on time-dependent barriers for a Brownian Motion. Weak approximation of a Brownian motion killed on time-dependent barriers.
Lucia CaramellinoBarbara PacchiarottiPublished in: Monte Carlo Methods Appl. (2002)
Keyphrases
- brownian motion
- optimal stopping
- stochastic process
- differential equations
- optimal control
- diffusion process
- poisson process
- stochastic processes
- heavy traffic
- closed form solutions
- markov chain
- vector valued
- stochastic differential equations
- queueing networks
- queue length
- arrival rate
- special case
- closed form
- stochastic model
- gaussian process
- heavy tailed
- edge detection
- state space
- cost function