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1 results

  • Stationarity and control of a tandem fluid network with fractional Brownian motion input

  • Part of
  • Chihoon Lee, Ananda Weerasinghe
  • Journal:
    Advances in Applied Probability / Volume 43 / Issue 3 / September 2011
    Published online by Cambridge University Press:
    01 July 2016, pp. 847-874
    Print publication:
    September 2011
    • Article
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  • We consider a stochastic control model for a queueing system driven by a two-dimensional fractional Brownian motion with Hurst parameter 0 < H < 1. In particular, when H > ½, this model serves to approximate a controlled two-station tandem queueing model with heavy-tailed ON/OFF sources in heavy traffic. We establish the weak convergence results for the distribution of the state process and construct an explicit stationary state process associated with given controls. Based on suitable coupling arguments, we show that each state process couples with its stationary counterpart and we use it to represent the long-run average cost functional in terms of the stationary process. Finally, we establish the existence result of an optimal control, which turns out to be independent of the initial data.