Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty
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Publication:5219737
zbMath1441.93336arXiv1702.06479MaRDI QIDQ5219737
Publication date: 12 March 2020
Full work available at URL: https://arxiv.org/abs/1702.06479
heavy trafficmodel uncertaintyambiguity aversionBrownian control problemHarrison-Taksar free-boundary problemmulticlass M/M/1
Queueing theory (aspects of probability theory) (60K25) Optimal stochastic control (93E20) Diffusion processes (60J60) Stochastic games, stochastic differential games (91A15) Existence theories for optimal control problems involving ordinary differential equations (49J15) Free boundary problems for PDEs (35R35)
Related Items (6)
Optimal Ergodic Harvesting under Ambiguity ⋮ Optimal Dividends Under Model Uncertainty ⋮ Asymptotic Analysis of a Multiclass Queueing Control Problem Under Heavy Traffic with Model Uncertainty ⋮ Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty ⋮ Optimal Dividend Problem: Asymptotic Analysis ⋮ On Singular Control Problems, the Time-Stretching Method, and the Weak-M1 Topology
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