Optimal Control of a Brownian Motion

Abstract

The potential function methods of Bather are applied to give a more analytic approach to a problem of Rath on stochastic control of a Brownian motion. This approach is applied also to a generalization of the Rath problem, an application of which involves deciding between two costly modes for reducing a queue length when there is a holding cost and a cost of switching from one mode to another. Some computational methods are indicated.

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