Related papers: Brownian control problems for a multiclass M/M/1 q…
We consider a dynamic control problem associated with a generalized Brownian network, the objective being to minimize expected discounted cost over an infinite planning horizon. In this Brownian control problem (BCP), both the system…
We solve two stochastic control problems in which a player tries to minimize or maximize the exit time from an interval of a Brownian particle, by controlling its drift. The player can change from one drift to another but is subject to a…
We study a multiclass M/M/1 queueing control problem with finite buffers under heavy-traffic where the decision maker is uncertain about the rates of arrivals and service of the system and by scheduling and admission/rejection decisions…
We study a differential game that governs the moderate-deviation heavy-traffic asymptotics of a multiclass single-server queueing control problem with a risk-sensitive cost. We consider a cost set on a finite but sufficiently large time…
We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly…
We consider a controlled double-ended queue consisting of two classes of customers, labeled sellers and buyers. The sellers and buyers arrive in a trading market according to two independent renewal processes. Whenever there is a seller and…
We consider a zero-sum stochastic differential controller-and-stopper game in which the state process is a controlled diffusion evolving in a multi-dimensional Euclidean space. In this game, the controller affects both the drift and the…
Bipartite matching systems arise in many settings where agents or tasks from two distinct sets must be paired dynamically under compatibility constraints. We consider a high-dimensional bipartite matching system under uncertainty and seek…
The multiple disorder problem seeks to determine a sequence of stopping times which are as close as possible to the unknown times of disorders at which the observation process changes its probability characteristics. We derive closed form…
A multi-class single-server queueing model with finite buffers, in which scheduling and admission of customers are subject to control, is studied in the moderate deviation heavy traffic regime. A risk-sensitive cost set over a finite time…
A multi-class single-server system with general service time distributions is studied in a moderate deviation heavy traffic regime. In the scaling limit, an optimal control problem associated with the model is shown to be governed by a…
We propose a model uncertainty approach to heavy traffic asymptotics that allows for a high level of uncertainty. That is, the uncertainty classes of underlying distributions accommodate disturbances that are of order 1 at the usual…
We consider a Markovian stochastic control problem with model uncertainty. The controller (intelligent player) observes only the state, and, therefore, uses feed-back (closed-loop) strategies. The adverse player (nature) who does not have a…
Motivated by applications in queueing theory, we consider a class of singular stochastic control problems whose state space is the d-dimensional positive orthant. The original problem is approximated by a drift control problem, to which we…
We consider the problem of optimal control of a mean-field stochastic differential equation under model uncertainty. The model uncertainty is represented by ambiguity about the law $\mathcal{L}(X(t))$ of the state $X(t)$ at time $t$. For…
Active Brownian particles (ABPs) function as self-driving agents that display non-equilibrium behavior through their pairwise interactions which lead to phase separation and vortex patterns in both soft matter and living systems. A…
We examine spectral equilibration of quantum chaotic spectra to universal statistics, in the context of the Brownian motion model. Two competing time scales, proportional and inversely proportional to the classical relaxation time, jointly…
We consider a general class of dynamic resource allocation problems within a stochastic optimal control framework. This class of problems arises in a wide variety of applications, each of which intrinsically involves resources of different…
In this paper we study a class of stochastic control problems in which the control of the jump size is essential. Such a model is a generalized version for various applied problems ranging from optimal reinsurance selections for general…
Classical queuing network control strategies typically rely on accurate knowledge of model data, i.e., arrival and service rates. However, such data are not always available and may be time-variant. To address this challenge, we consider a…