Sensitivity of boundary crossing probabilities of the Brownian motion.
Sercan GürKlaus PötzelbergerPublished in: Monte Carlo Methods Appl. (2019)
Keyphrases
- brownian motion
- optimal stopping
- differential equations
- stochastic process
- optimal control
- diffusion process
- stochastic processes
- poisson process
- probability distribution
- vector valued
- heavy traffic
- queue length
- markov chain
- transition probabilities
- stochastic differential equations
- dynamic programming
- stochastic model
- closed form solutions
- special case
- anisotropic diffusion
- conditional probabilities
- supply chain