Drift rate control of a Brownian processing system
نویسندگان
چکیده
منابع مشابه
Drift Rate Control of a Brownian Processing System
A system manager dynamically controls a diffusion process Z that lives in a finite interval [0, b]. Control takes the form of a negative drift rate θ that is chosen from a fixed set A of available values. The controlled process evolves according to the differential relationship dZ = dX − θ(Z) dt + dL − dU , where X is a (0, σ) Brownian motion, and L and U are increasing processes that enforce a...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2005
ISSN: 1050-5164
DOI: 10.1214/105051604000000855