Optimal stopping for the exponential of a Brownian bridge.
Tiziano De AngelisAlessandro MilazzoPublished in: J. Appl. Probab. (2020)
Keyphrases
- optimal stopping
- brownian motion
- stochastic process
- differential equations
- optimal control
- diffusion process
- heavy traffic
- poisson process
- vector valued
- stochastic processes
- queue length
- finite horizon
- closed form solutions
- queueing networks
- steady state
- long run
- dynamic programming
- image denoising
- mathematical model
- linear programming
- probability distribution