An escape time criterion for queueing networks: Asymptotic risk-sensitive control via differential games
| dc.creator | Atar, Rami | |
| dc.creator | Dupuis, Paul | |
| dc.creator | Shwartz, Adam | |
| dc.date | 2005-01-03 | |
| dc.date.accessioned | 2026-07-07T05:15:47Z | |
| dc.date.available | 2026-07-07T05:15:47Z | |
| dc.description | We consider the problem of risk-sensitive control of a stochastic network. In controlling such a network, an escape time criterion can be useful if one wishes to regulate the occurrence of large buffers and buffer overflow. In this paper a risk-sensitive escape time criterion is formulated, which in comparison to the ordinary escape time criteria penalizes exits which occur on short time intervals more heavily. The properties of the risk-sensitive problem are studied in the large buffer limit, and related to the value of a deterministic differential game with constrained dynamics. We prove that the game has value, and that the value is the (viscosity) solution of a PDE. For a simple network, the value is computed, demonstrating the applicability of the approach. | |
| dc.identifier | https://arxiv.org/abs/math/0501031 | |
| dc.identifier | http://arxiv.org/abs/math/0501031 | |
| dc.identifier | Math. Op. Res., 28 no. 4 p. 801-835 (2003) | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/73753 | |
| dc.subject | Probability | |
| dc.subject | Primary 60F10, 60K25, secondary 93E20, 60F17 | |
| dc.title | An escape time criterion for queueing networks: Asymptotic risk-sensitive control via differential games | |
| dc.type | text |