Open Access
November 2005 Workload reduction of a generalized Brownian network
J. M. Harrison, R. J. Williams
Ann. Appl. Probab. 15(4): 2255-2295 (November 2005). DOI: 10.1214/105051605000000458
Abstract

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 manager’s control and the associated cumulative cost process may be locally of unbounded variation. Due to this aspect of the cost process, both the precise statement of the problem and its analysis involve delicate technical issues. We show that the BCP is equivalent, in a certain sense, to a reduced Brownian control problem (RBCP) of lower dimension. The RBCP is a singular stochastic control problem, in which both the controls and the cumulative cost process are locally of bounded variation.

Copyright © 2005 Institute of Mathematical Statistics
J. M. Harrison and R. J. Williams "Workload reduction of a generalized Brownian network," The Annals of Applied Probability 15(4), 2255-2295, (November 2005). https://doi.org/10.1214/105051605000000458
Published: November 2005
Vol.15 • No. 4 • November 2005
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