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Accuracy of fluid approximations to controlled birth-and-death processes: absorbing case

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  • Alexey Piunovskiy
  • Yi Zhang

Abstract

We consider the fluid model of a controlled birth-and-death process with an absorbing state. Instead of analyzing the trajectories, we investigate the performance functionals of the underlying process by considering algebraic equations of the dynamic programming type. We provide the accuracy of such fluid approximations and give illustrative examples. Copyright Springer-Verlag 2011

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  • Alexey Piunovskiy & Yi Zhang, 2011. "Accuracy of fluid approximations to controlled birth-and-death processes: absorbing case," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 73(2), pages 159-187, April.
    • Handle: RePEc:spr:mathme:v:73:y:2011:i:2:p:159-187
    DOI: 10.1007/s00186-010-0340-3
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    References listed on IDEAS

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    4. A. B. Piunovskiy, 2004. "Multicriteria impulsive control of jump Markov processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 60(1), pages 125-144, September.
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    Cited by:

    1. Erhan Bayraktar & Michael Ludkovski, 2014. "Liquidation In Limit Order Books With Controlled Intensity," Mathematical Finance, Wiley Blackwell, vol. 24(4), pages 627-650, October.
    2. Alexey Piunovskiy & Yi Zhang, 2012. "The Transformation Method for Continuous-Time Markov Decision Processes," Journal of Optimization Theory and Applications, Springer, vol. 154(2), pages 691-712, August.

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