Rate control under heavy traffic with strategic servers
DOI10.1214/17-AAP1349zbMath1409.60131arXiv1605.09010MaRDI QIDQ670732
Asaf Cohen, Amarjit Budhiraja, Erhan Bayraktar
Publication date: 20 March 2019
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.09010
mean-field gamesreflected diffusionsqueuing systemsheavy traffic limitsrate controlstrategic servers
Queueing theory (aspects of probability theory) (60K25) Games with infinitely many players (91A07) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Functional limit theorems; invariance principles (60F17)
Related Items (4)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A semi-Lagrangian scheme for a degenerate second order mean field game system
- Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis
- Continuous time finite state mean field games
- Drift rate control of a Brownian processing system
- A rank-based mean field game in the strong formulation
- A general characterization of the mean field limit for stochastic differential games
- Macroscopic limits for stochastic partial differential equations of McKean-Vlasov type
- Mean field games. I: The stationary case
- Mean field games. II: Finite horizon and optimal control
- Augmented Lagrangian methods for transport optimization, mean field games and degenerate elliptic equations
- Mean field games
- Interacting multi-class transmissions in large stochastic networks
- A mean-field limit for a class of queueing networks
- Large loss networks
- Diffusion approximations for controlled weakly interacting large finite state systems with simultaneous jumps
- Convergence of locally and globally interacting Markov chains.
- New numerical methods for mean field games with quadratic costs
- Mean-field game approach to admission control of an \(M/M/\infty \) queue with shared service cost
- On the connection between symmetric \(N\)-player games and mean field games
- A probabilistic weak formulation of mean field games and applications
- Mean field games via controlled martingale problems: existence of Markovian equilibria
- Numerical method for FBSDEs of McKean-Vlasov type
- An explicit formula for the Skorokhod map on \([0,a\)]
- Stochastic networks with multiple stable points
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Long time average of first order mean field games and weak KAM theory
- Routing and Staffing When Servers Are Strategic
- Probabilistic Analysis of Mean-Field Games
- Mean Field Games: Convergence of a Finite Difference Method
- LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
- Mean Field Games and Applications
- Ergodic Rate Control Problem for Single Class Queueing Networks
- OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
- COMPUTATION OF MEAN FIELD EQUILIBRIA IN ECONOMICS
- Weak convergence of sequences of semimartingales with applications to multitype branching processes
- Распространение хаоса в сетях обслуживания
- A stability theorem of backward stochastic differential equations and its application
- Chaoticity on path space for a queueing network with selection of the shortest queue among several
- A Numerical Scheme for a Mean Field Game in Some Queueing Systems Based on Markov Chain Approximation Method
- Compactification methods in the control of degenerate diffusions: existence of an optimal control
- Asymptotic analysis of adaptive rate control for diverse sources with delayed feedback
- A Mean Field Game Approach to Scheduling in Cellular Systems
- GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
- A Limit Theorem for Financial Markets with Inert Investors
- Mean Field Games: Numerical Methods
- A Fully Discrete Semi-Lagrangian Scheme for a First Order Mean Field Game Problem
- Convergence of a Finite Difference Scheme to Weak Solutions of the System of Partial Differential Equations Arising in Mean Field Games
- Optimal Transport
- Introduction to nonparametric estimation
This page was built for publication: Rate control under heavy traffic with strategic servers