Stochastic PDEs and Infinite Horizon Backward Doubly Stochastic Differential Equations.
Bo ZhuBaoyan HanPublished in: J. Appl. Math. (2012)
Keyphrases
- stochastic differential equations
- infinite horizon
- brownian motion
- optimal control
- maximum a posteriori estimation
- inventory level
- finite horizon
- dynamic programming
- optimal policy
- partial differential equations
- stochastic demand
- production planning
- long run
- markov decision processes
- fractional brownian motion
- average cost
- control strategy
- image processing
- stochastic process
- lead time
- image denoising
- state space
- level set
- additive gaussian noise
- anisotropic diffusion
- long range
- reinforcement learning
- differential equations
- noisy images
- decision problems
- non stationary
- graphical models
- inventory control
- edge detection
- supply chain
- probabilistic model