Maximum likelihood estimation of McKean–Vlasov stochastic differential equation and its application
J Wen, X Wang, S Mao, X Xiao - Applied Mathematics and Computation, 2016 - Elsevier
McKean–Vlasov stochastic differential equation is a class of complicated and special
equation since the drift term is a function of stochastic process and its distribution. This paper …
equation since the drift term is a function of stochastic process and its distribution. This paper …
Asymptotic optimality of the generalized cμ rule under model uncertainty
A Cohen, S Saha - Stochastic Processes and their Applications, 2021 - Elsevier
We consider a critically-loaded multiclass queueing control problem with model uncertainty.
The model consists of I types of customers and a single server. At any time instant, a …
The model consists of I types of customers and a single server. At any time instant, a …