An approximation scheme for stochastic controls in continuous time

This paper considers methods for calculating the steady-state loss probability in the GI/G/2/0 queue. A previous study analyzed this queue in discrete time and this led to an efficient, numerical approximation scheme for continuous-time systems. The primary aim of the present work is to provide an alternative approach by analyzing the GI/ME/2/0 queue; i.e., assuming that the service time can be represented by a matrix-exponential distribution. An efficient computational scheme based on this method is developed and some numerical examples are studied. Some comparisons are made with the discrete-time approach, and the two methods are seen to be complementary.

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A Carleman approximation scheme for a stochastic optimal control problem in the continuous-time framework

IFAC Proceedings Volumes ◽

10.3182/20080706-5-kr-1001.01355 ◽

2008 ◽

Vol 41 (2) ◽

pp. 8027-8032

Author(s):

Gabriella Mavelli ◽

Pasquale Palumbo

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Continuous Time ◽

Stochastic Optimal Control ◽

Approximation Scheme ◽

Carleman Approximation ◽

Stochastic Optimal Control Problem

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An Information-Based Approximation Scheme for Stochastic Optimization Problems in Continuous Time

Mathematics of Operations Research ◽

10.1287/moor.1080.0369 ◽

2009 ◽

Vol 34 (2) ◽

pp. 428-444 ◽

Cited By ~ 5

Author(s):

Daniel Kuhn

Keyword(s):

Stochastic Optimization ◽

Continuous Time ◽

Approximation Scheme ◽

Optimization Problems

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Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model

Journal of Applied Probability ◽

10.1017/s0021900200002965 ◽

2007 ◽

Vol 44 (02) ◽

pp. 285-294 ◽

Cited By ~ 2

Author(s):

Qihe Tang

Keyword(s):

Asymptotic Formula ◽

Continuous Time ◽

Heavy Tails ◽

Tail Behavior ◽

Renewal Model ◽

Discounted Aggregate Claims ◽

Aggregate Claims ◽

Tail Asymptotic

We study the tail behavior of discounted aggregate claims in a continuous-time renewal model. For the case of Pareto-type claims, we establish a tail asymptotic formula, which holds uniformly in time.

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