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

Arka P. Ghosh; Alexander Roitershtein; Ananda Weerasinghe

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arXiv · 0808.1299

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

Arka P. Ghosh·Alexander Roitershtein·Ananda Weerasinghe

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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.

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Arka P. Ghosh, Alexander Roitershtein, Ananda Weerasinghe. 2008-08-08. Optimal control of a stochastic network driven by a fractional Brownian motion input. https://arxiv.org/abs/0808.1299

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