A Differential Game for a Multiclass Queueing Model in the Moderate-Deviation Heavy-Traffic Regime

DOI10.1287/moor.2016.0780zbMath1352.49039arXiv1412.6773OpenAlexW2411450974MaRDI QIDQ2833107

Rami Atar, Asaf Cohen

Publication date: 16 November 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.6773

zbMATH Keywords

differential gameheavy trafficmoderate deviationsmulticlass single-server queuerisk-sensitive costHarrison-Taksar free boundary problem

Mathematics Subject Classification ID

Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Optimal stochastic control (93E20) Large deviations (60F10)

Related Items (7)

Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty ⋮ Optimality of the generalized \(c\mu \) rule in the moderate deviation regime ⋮ Asymptotic Analysis of a Multiclass Queueing Control Problem Under Heavy Traffic with Model Uncertainty ⋮ Dynamic decision of health information exchange under different hospital relationships: a differential game approach ⋮ Risk sensitive control of the lifetime ruin problem ⋮ Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty ⋮ Economies-of-Scale in Many-Server Queueing Systems: Tutorial and Partial Review of the QED Halfin--Whitt Heavy-Traffic Regime

Cites Work

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• An Escape-Time Criterion for Queueing Networks: Asymptotic Risk-Sensitive Control via Differential Games
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