Geometric Brownian motion with affine drift and its time-integral.
Runhuan FengPingping JiangHans VolkmerPublished in: Appl. Math. Comput. (2021)
Keyphrases
- brownian motion
- optimal stopping
- stochastic process
- differential equations
- diffusion process
- optimal control
- poisson process
- stochastic processes
- vector valued
- heavy traffic
- queue length
- markov chain
- concept drift
- closed form solutions
- steady state
- anisotropic diffusion
- image sequences
- arrival rate
- partial differential equations