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

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dc.creatorGhosh, Arka P.
dc.creatorRoitershtein, Alexander
dc.creatorWeerasinghe, Ananda
dc.date2008-08-08
dc.date.accessioned2026-07-07T09:55:51Z
dc.date.available2026-07-07T09:55:51Z
dc.descriptionWe 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.
dc.description29 pages, 0 figures, first draft (aug 5, 2008)
dc.identifierhttps://arxiv.org/abs/0808.1299
dc.identifierhttp://arxiv.org/abs/0808.1299
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/166773
dc.subjectProbability
dc.subjectOptimization and Control
dc.subject60K25; 68M20; 90B22 (Primary) 90B18 (Secondary)
dc.titleOptimal control of a stochastic network driven by a fractional Brownian motion input
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