The stability of the multivariate geometric Brownian motion as a bilinear matrix inequality problem.
Gerardo BarreraEyleifur BjarkasonSigurdur F. HafsteinPublished in: CoRR (2024)
Keyphrases
- brownian motion
- differential equations
- stochastic process
- optimal control
- singular value decomposition
- poisson process
- diffusion process
- stochastic processes
- vector valued
- heavy traffic
- queue length
- closed form solutions
- stochastic model
- stochastic differential equations
- inventory level
- regression model
- random fields
- low rank
- dynamical systems
- random variables
- heavy tailed
- dynamic programming