Optimal control of a stochastic network driven by a fractional Brownian motion input

Ghosh, Arka P.; Roitershtein, Alexander; Weerasinghe, Ananda

Optimal control of a stochastic network driven by a fractional Brownian motion input

Authors

Ghosh, Arka P.

Roitershtein, Alexander

Weerasinghe, Ananda

Description

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.
29 pages, 0 figures, first draft (aug 5, 2008)