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Author Ghosh, Arka P. ♦ Roitershtein, Alexander ♦ Weerasinghe, Ananda
Source arXiv.org
Content type Text
File Format PDF
Date of Submission 2008-08-08
Language English
Subject Domain (in DDC) Natural sciences & mathematics ♦ Mathematics
Subject Keyword Mathematics - Probability ♦ Mathematics - Optimization and Control ♦ 60K25 ♦ 68M20 ♦ 90B22 (Primary) 90B18 (Secondary) ♦ math
Abstract We consider a stochastic control model driven by a fractional Brownian motion. This model is a formal approximation to a queueing network with an on-off input process. We study stochastic control problems associated with the long-run average cost, the infinite horizon discounted cost, and the finite horizon cost. In addition, we find a solution to a constrained minimization problem as an application of our solution to the long-run average cost problem. We also establish Abelian limit relationships among the value functions of the above control problems.
Educational Use Research
Learning Resource Type Article
Page Count 29


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