Degenerate variance control in the one-dimensional stationary case

DOI10.1214/EJP.V8-181MaRDI QIDQ1767514zbMATH OpenOpenAlexFDO

Authors Daniel L. Ocone, Ananda Weerasinghe

Publication date 8 March 2005

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/128371, http://www.emis.de/journals/EJP-ECP/_ejpecp/EjpVol8/paper24.abs.html

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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(4)

• A Degenerate Variance Control Problem with Discretionary Stopping
• Degenerate Variance Control of a One-Dimensional Diffusion
• Optimal buffer size for a stochastic processing network in heavy traffic
• Ergodic control of multi-class \(\mathrm{M}/\mathrm{M}/N+\mathrm{M}\) queues in the Halfin-Whitt regime

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