Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty
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Abstract (arXiv)
We consider a multidimentional Brownian control problem (BCP) with model uncertainty that formally emerges from a multiclass M/M/1 queueing control problem under heavy-traffic with model uncertainty. The BCP is formulated as a multidimensional stochastic differential game with two players: a minimizer that has an equivalent role to the decision maker in the queueing control problem and a maximizer whose role is to set up the uncertainty of the model. The dynamics are driven by a Brownian motion. We show that a state-space collapse propery holds. That is, the multidimensional BCP can be reduced to a one-dimensional BCP with model uncertainty that also takes the form of a two-player stochastic differential game. Then, the value function of both of the games is characterized as the unique solution to a free-boundary problem from which we extract equilibria for both games. Finally, we analyze the dependence of the value function and the equilibria on the ambiguity parameters.
Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 21 Feb 2017.
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