Zobrazeno 1 - 2
of 2
pro vyhledávání: '"Jansen, Marijn"'
Operations research practitioners frequently want to model complicated functions that are are difficult to encode in their underlying optimisation framework. A common approach is to solve an approximate model, and to use a simulation to evaluate the
Externí odkaz:
http://arxiv.org/abs/2107.08390
Publikováno v:
Advances in Applied Probability 48(1), 235-254 (2016)
In this paper we consider an Ornstein-Uhlenbeck (OU) process $(M(t))_{t\geqslant 0}$ whose parameters are determined by an external Markov process $(X(t))_{t\geqslant 0}$ on a finite state space $\{1,\ldots,d\}$; this process is usually referred to a
Externí odkaz:
http://arxiv.org/abs/1412.7952