Workload reduction of a generalized Brownian network

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dc.creatorHarrison, J. M.
dc.creatorWilliams, R. J.
dc.date2006-02-22
dc.date.accessioned2026-07-07T07:03:41Z
dc.date.available2026-07-07T07:03:41Z
dc.descriptionWe consider a dynamic control problem associated with a generalized Brownian network, the objective being to minimize expected discounted cost over an infinite planning horizon. In this Brownian control problem (BCP), both the system manager's control and the associated cumulative cost process may be locally of unbounded variation. Due to this aspect of the cost process, both the precise statement of the problem and its analysis involve delicate technical issues. We show that the BCP is equivalent, in a certain sense, to a reduced Brownian control problem (RBCP) of lower dimension. The RBCP is a singular stochastic control problem, in which both the controls and the cumulative cost process are locally of bounded variation.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051605000000458 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0602495
dc.identifierhttp://arxiv.org/abs/math/0602495
dc.identifierAnnals of Applied Probability 2005, Vol. 15, No. 4, 2255-2295
dc.identifierdoi:10.1214/105051605000000458
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/109068
dc.subjectProbability
dc.subject60J60, 60K30, 90B15, 90B36 (Primary)
dc.titleWorkload reduction of a generalized Brownian network
dc.typetext

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