OPTIMAL CONTROL OF A STOCHASTIC PROCESSING SYSTEM DRIVEN BY A FRACTIONAL BROWNIAN MOTION INPUT

摘要

We consider a stochastic control model driven by a fractional Brownian motion. This model is a formal approximation to a queueing network with an ON–OFF input process. We study stochastic control problems associated with the long-run average cost, the infinite-horizon discounted cost, and the finite-horizon cost. In addition, we find a solution to a constrained minimization problem as an application of our solution to the long-run average cost problem. We also establish Abelian limit relationships among the value functions of the above control problems.