Modeling and control of data transmission (Q6172241)

The authors consider a class of stochastic recursive systems which they treat as stochastic Markov decision models. A certain optimization problem is associated to the systems, and optimal strategies are studied. Problems for optimal control are considered via the limiting path of the system. The existence of such a limiting path is provided by a law of large numbers type theorem. This limiting path is shown to be the integral path of a differential equation closely related to the dynamics of the recursive system. Examples of simulation for convergence are provided. Applications to a simple model of data transmission and a simple model of high frequency trading with optimal strategies are discussed.