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Modeling and Control of Data Transmission

Author

Listed:
  • Huang Tanhao

    (Tsinghua University)

  • Jian Siqi

    (Capital University of Economics and Business)

  • Chen Jinwen

    (Tsinghua University)

  • Dai Yanan

    (Tsinghua University)

Abstract

This paper concerns a class of stochastic recursive systems which we treat as stochastic decision models. Problems for optimal control are considered via the limiting path of the system. The existence of such a limiting path is provided by a law of large numbers type theorem. This limiting path is shown to be the integral path of a differential equation closely related to the dynamics of the recursive system. Examples of simulation for convergence are provided. Applications to a simple model of data transmission and a simple model of high frequency trading with optimal strategies are discussed.

Suggested Citation

  • Huang Tanhao & Jian Siqi & Chen Jinwen & Dai Yanan, 2023. "Modeling and Control of Data Transmission," Methodology and Computing in Applied Probability, Springer, vol. 25(3), pages 1-18, September.
    • Handle: RePEc:spr:metcap:v:25:y:2023:i:3:d:10.1007_s11009-023-10048-9
    DOI: 10.1007/s11009-023-10048-9
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