Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty
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Publication:5219737
ambiguity aversionBrownian control problemHarrison-Taksar free-boundary problemheavy trafficmodel uncertaintymulticlass M/M/1
Free boundary problems for PDEs (35R35) Existence theories for optimal control problems involving ordinary differential equations (49J15) Diffusion processes (60J60) Queueing theory (aspects of probability theory) (60K25) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)
Abstract: We consider a multidimentional Brownian control problem (BCP) with model uncertainty that formally emerges from a multiclass M/M/1 queueing control problem under heavy-traffic with model uncertainty. The BCP is formulated as a multidimensional stochastic differential game with two players: a minimizer that has an equivalent role to the decision maker in the queueing control problem and a maximizer whose role is to set up the uncertainty of the model. The dynamics are driven by a Brownian motion. We show that a state-space collapse propery holds. That is, the multidimensional BCP can be reduced to a one-dimensional BCP with model uncertainty that also takes the form of a two-player stochastic differential game. Then, the value function of both of the games is characterized as the unique solution to a free-boundary problem from which we extract equilibria for both games. Finally, we analyze the dependence of the value function and the equilibria on the ambiguity parameters.
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Cited in
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- A Brownian control problem for a simple queueing system in the halfin--whitt regime
- Optimal dividend problem: asymptotic analysis
- Optimal ergodic harvesting under ambiguity
- Asymptotic analysis of a multiclass queueing control problem under heavy traffic with model uncertainty
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