Conjectured free-boundary solution for the EWF in Case IID

Let B=(B1,B2)B=(B_1,B_2) be the two-dimensional Brownian motion on a filtered probability space (Ω,F,{Ft}t0,P)(\mathnormal{\Omega},\mathcal{F},\{\mathcal{F}_t\}_{t\ge 0},\mathbb{P}), and consider the EWF with hathhat h as in the linear-programming value and parameters (μ1,μ2,μ3)(\mu_1,\mu_2,\mu_3) and (c1,c2,c3)(c_1,c_2,c_3) as in Case IID. For a real number xx, write [x]=max{x,0}[x]^- = \max\{-x,0\}. The EWF free-boundary conjecture. There exist functions Ψi:R+R+\Psi_i:\mathbb{R}_+\to\mathbb{R}_+, i=1,2i=1,2, that are Lipschitz and strictly increasing, with Ψi(x)\Psi_i(x)\to\infty as xx\to\infty, such that there is a unique pair of {Ft}\{\mathcal{F}_t\}-adapted continuous processes W1,W2W_1^*,W_2^* with values in R+\mathbb{R}_+ satisfying

W1(t)=B1(t)+sup0st[B1(s)Ψ1(W2(s))],W_1^*(t)=B_1(t)+\sup_{0\le s\le t}\left[B_1(s)-\Psi_1(W_2^*(s))\right]^-, W2(t)=B2(t)+sup0st[B2(s)Ψ2(W1(s))].W_2^*(t)=B_2(t)+\sup_{0\le s\le t}\left[B_2(s)-\Psi_2(W_1^*(s))\right]^-.

Moreover, the processes

I1(t)=sup0st[B1(s)Ψ1(W2(s))],I2(t)=sup0st[B2(s)Ψ2(W1(s))]I_1^*(t)=\sup_{0\le s\le t}\left[B_1(s)-\Psi_1(W_2^*(s))\right]^-,\qquad I_2^*(t)=\sup_{0\le s\le t}\left[B_2(s)-\Psi_2(W_1^*(s))\right]^-

form an optimal control for the EWF. The conjecture concerns the currently unavailable EWF and Brownian control problem in regime IID and would be a key step toward constructing asymptotically optimal control policies there; Case IID is described as a challenging open problem.

Sources & referencesView supporting material

Primary source

Amarjit Budhiraja, Xin Liu and Subhamay Saha, “Construction of Asymptotically Optimal Control for a Stochastic Network from a Free Boundary Problem”, arXiv:1502.02320 (2015).

Progress summary

Never refreshed

Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.

Solutions 0

No solutions have been posted yet.