Boundary crossing probabilities for high-dimensional Brownian motion.
James C. FuTung-Lung WuPublished in: J. Appl. Probab. (2016)
Keyphrases
- brownian motion
- high dimensional
- stochastic process
- differential equations
- optimal control
- stochastic processes
- diffusion process
- poisson process
- vector valued
- heavy traffic
- probability distribution
- low dimensional
- queue length
- data points
- stochastic differential equations
- stochastic model
- closed form solutions
- parameter space
- dimensionality reduction
- feature space
- steady state
- input space
- markov chain
- special case
- reinforcement learning