Estimating the Counterparty Risk Exposure by Using the Brownian Motion Local Time.
Michele BonolloLuca Di PersioLuca MammiImmacolata OlivaPublished in: Int. J. Appl. Math. Comput. Sci. (2017)
Keyphrases
- brownian motion
- optimal stopping
- stochastic process
- differential equations
- optimal control
- stochastic processes
- heavy traffic
- poisson process
- diffusion process
- vector valued
- queue length
- stochastic differential equations
- steady state
- cost function
- decision making
- dynamical systems
- arrival rate
- asymptotically optimal
- markov chain
- graphical models
- supply chain
- special case
- heavy tailed
- optical flow
- learning algorithm