Sobolev-type stochastic differential equations driven by G-Brownian motion.
Lanying HuYong RenWensheng YinPublished in: Int. J. Control (2021)
Keyphrases
- brownian motion
- stochastic differential equations
- differential equations
- optimal control
- stochastic process
- diffusion process
- poisson process
- vector valued
- stochastic processes
- maximum a posteriori estimation
- heavy traffic
- queue length
- fractional brownian motion
- closed form solutions
- additive gaussian noise
- scale space
- noisy images
- inventory level
- long range
- steady state