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Diffusion approximation forGI/G/1 controlled queues
16 references·3 citing·33 second hop
Diffusion approximation forGI/G/1 controlled queues (1992)Diffusion approximation forGI/G/1 control…On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)On lipschitz continuity of th…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…Theory of Martingales (1989)Theory of MartingalesNearly Optimal State Feedback Controls for Stochastic Systems with Wideband Noise Disturbances (1987)Nearly Optimal State Feedback…Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems (1985)Connections Between Optimal S…Stochastic differential equations with reflecting boundary conditions (1984)Stochastic differential equat…Open Queueing Networks in Heavy Traffic (1984)Open Queueing Networks in Hea…Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems (1984)Connections between Optimal S…Instantaneous Control of Brownian Motion (1983)Instantaneous Control of Brow…A class of singular stochastic control problems (1983)A class of singular stochasti…Reflected Brownian Motion on an Orthant (1981)Reflected Brownian Motion on …Some solvable stochastic control problemst† (1980)Some solvable stochastic cont…Stochastic differential equations with reflecting boundary condition in convex regions (1979)Stochastic differential equat…Semi-Markov Decision Processes with Unbounded Rewards (1973)Semi-Markov Decision Processe…Queueing Systems with a Removable Service Station (1963)Queueing Systems with a Remov…Diffusion Limit of Fair Resource Control—Stationarity and Interchange of Limits (2016)Diffusion Limit of Fair Resou…Abandonment versus blocking in many-server queues: asymptotic optimality in the QED regime (2013)Abandonment versus blocking i…Double Band Policy for Stochastic Manufacturing Systems in Heavy Traffic (1994)Double Band Policy for Stocha…Multiple channel queues in heavy traffic. I (1970)Martingale Methods in Financial Modelling (1997)An introduction to stochastic partial differential equations (2006)A Dynamic Model of Optimal Capital Structure (2007)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)On the uniqueness of solutions of stochastic differential equations (1971)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Differential Equations and Diffusion Processes (1983)Optimal Investment and Consumption with Transaction Costs (1994)Stochastic Differential Equations (2014)Controlled Stochastic Processes (1979)Controlled Diffusion Processes (1980)A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees (1988)A General Equilibrium Model of International Portfolio Choice (1993)Optimal risk and dividend distribution control models for an insurance company (2000)Un Cours sur les Intégrales Stochastiques (2002)Networks of Waiting Lines (1957)Brownian models of open queueing networks with homogeneous customer populations ∗ (1987)Brownian Models of Queueing Networks with Heterogeneous Customer Populations (1988)Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application (1983)Stochastic differential equations for multi-dimensional domain with reflecting boundary (1987)Optimal Operating Policies for M / G /1 Queuing Systems (1968)Utilization of Idle Time in an M / G /1 Queueing System (1975)A Unifying View of Hybrid Simulation/Analytic Models and Modeling (1983)Risk vs. profit potential: A model for corporate strategy (1996)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Diffusion approximations for open multiclass queueing networks: sufficient conditions involving state space collapse (1998)Time-changed Lévy processes and option pricing (2003)Selection, Growth, and the Size Distribution of Firms (2007)A Continuous-Time Version of the Principal–Agent Problem (2008)An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)Mixed Fractional Brownian Motion (2001)Arbitrage in fractional Brownian motion models (2003)
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References

  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,400 cited
  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 1989Theory of Martingales956 cited
  • 1984Stochastic differential equations with reflecting boundary conditions817 cited
  • 1984Open Queueing Networks in Heavy Traffic449 cited
  • 1963Queueing Systems with a Removable Service Station443 cited
  • 1979Stochastic differential equations with reflecting boundary condition in convex regions415 cited
  • 1981Reflected Brownian Motion on an Orthant390 cited
  • 1980Some solvable stochastic control problemst†316 cited
  • 1983Instantaneous Control of Brownian Motion295 cited
  • 1991On lipschitz continuity of the solution mapping to the skorokhod problem, with applications255 cited
  • 1984Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems226 cited
  • 1973Semi-Markov Decision Processes with Unbounded Rewards129 cited
  • 1983A class of singular stochastic control problems128 cited
  • 1985Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems123 cited

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  • 1987Nearly Optimal State Feedback Controls for Stochastic Systems with Wideband Noise Disturbances77 cited
  • Cited by

    • 2013Abandonment versus blocking in many-server queues: asymptotic optimality in the QED regime21 cited
    • 2016Diffusion Limit of Fair Resource Control—Stationarity and Interchange of Limits20 cited
    • 1994Double Band Policy for Stochastic Manufacturing Systems in Heavy Traffic19 cited