{
  "id": "0808.1299",
  "version": "v1",
  "published": "2008-08-08T20:41:16.000Z",
  "updated": "2008-08-08T20:41:16.000Z",
  "title": "Optimal control of a stochastic network driven by a fractional Brownian motion input",
  "authors": [
    "Arka P. Ghosh",
    "Alexander Roitershtein",
    "Ananda Weerasinghe"
  ],
  "comment": "29 pages, 0 figures, first draft (aug 5, 2008)",
  "categories": [
    "math.PR",
    "math.OC"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2008-08-08T20:41:16.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60K25",
      "68M20",
      "90B22",
      "90B18"
    ],
    "keywords": [
      "fractional brownian motion input",
      "stochastic network driven",
      "optimal control",
      "stochastic control problems",
      "long-run average cost"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 29,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2008arXiv0808.1299G"
    }
  }
}