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math.PR2019
Splitting Algorithms for Rare Events of Semimartingale Reflecting Brownian motions
Kevin Leder, Xin Liu, Zicheng Wang
We study rare event simulations of semimartingale reflecting Brownian motions (SRBMs) in an orthant. The rare event of interest is that a -dimensional positive recurrent SRBM en…
math.PR2015
Construction of Asymptotically Optimal Control for a Stochastic Network from a Free Boundary Problem
Amarjit Budhiraja, Xin Liu, Subhamay Saha
An asymptotic framework for optimal control of multiclass stochastic processing networks, using formal diffusion approximations under suitable temporal and spatial scaling, by Brow…
math.PR2012
Dynamic Scheduling for Markov Modulated Single-server Multiclass Queueing Systems in Heavy Traffic
Amarjit Budhiraja, Arka Ghosh, Xin Liu
This paper studies a scheduling control problem for a single-server multiclass queueing network in heavy traffic, operating in a changing environment. The changing environment is m…