Controlling the Running Maximum of a Diffusion Process and an Application to Queueing Systems
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Publication:4634648
DOI10.1137/17M1135967zbMath1390.93873OpenAlexW2797270915MaRDI QIDQ4634648
Publication date: 11 April 2018
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/17m1135967
Ornstein-Uhlenbeck processdiffusion processesHJB equationrunning maximuminfinite-server processing systems
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