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Optimal switching among several Brownian motions
Robert J. Vanderbei
Operations Research & Financial Engineering
Astrophysical Sciences
Bendheim Center for Finance
Center for Statistics & Machine Learning
Mathematics
Mechanical & Aerospace Engineering
Research output
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Contribution to journal
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Article
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peer-review
1
Scopus citations
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Mathematics
Reward
90%
Brownian motion
69%
Facet
50%
Optimal Control
38%
Instant
34%
Zero
24%
Co-ordinate axis
20%
Concave function
17%
Absorption
17%
Rectangle
15%
Strictly
12%
Interval
9%
Subset
8%
Class
4%
Engineering & Materials Science
Brownian movement
100%