Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations.
Nan ChenZhengyu HuangPublished in: Math. Oper. Res. (2013)
Keyphrases
- stochastic differential equations
- brownian motion
- differential equations
- stochastic process
- maximum a posteriori estimation
- optimal control
- poisson process
- diffusion process
- stochastic processes
- heavy traffic
- vector valued
- closed form solutions
- queue length
- fractional brownian motion
- inventory level
- markov chain
- arrival rate
- multiscale
- lead time
- wavelet transform
- additive gaussian noise
- cost function