Optimal Stopping Problem for Stochastic Differential Equations with Random Coefficients.
Mou-Hsiung ChangTao PangJiongmin YongPublished in: SIAM J. Control. Optim. (2009)
Keyphrases
- brownian motion
- optimal stopping
- stochastic differential equations
- stochastic process
- differential equations
- optimal control
- diffusion process
- heavy tailed
- vector valued
- stochastic processes
- poisson process
- heavy traffic
- queue length
- closed form solutions
- wavelet coefficients
- wavelet packet
- generalized gaussian
- inventory level
- dynamical systems
- dynamic programming
- random fields
- maximum entropy