A Brownian control problem for a simple queueing system in the Halfin-Whitt regime

@article{Atar2004ABC,
  title={A Brownian control problem for a simple queueing system in the Halfin-Whitt regime},
  author={Rami Atar and Avishai Mandelbaum and Martin I. Reiman},
  journal={Systems & Control Letters},
  year={2004},
  volume={51},
  pages={269-275}
}
We consider a formal di4usion limit for a control problem of a multi-type multi-server queueing system, in the regime proposed by Hal*n and Whitt. This takes the form of a control problem where the dynamics are driven by a Brownian motion. In one dimension, a pathwise minimum is obtained and is characterized as the solution to a stochastic di4erential equation. The pathwise solution to a special multi-dimensional problem (corresponding to a multi-type system) follows. c © 2003 Elsevier B.V. All… CONTINUE READING

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