Timing in the presence of directional predictability: optimal stopping of skew Brownian motion.
Luis H. R. Alvarez E.Paavo SalminenPublished in: Math. Methods Oper. Res. (2017)
Keyphrases
- optimal stopping
- brownian motion
- stochastic process
- differential equations
- optimal control
- diffusion process
- stochastic processes
- poisson process
- vector valued
- heavy traffic
- finite horizon
- queue length
- dynamical systems
- closed form solutions
- optimal policy
- multistage
- image enhancement
- dynamic programming
- non stationary
- wavelet transform