Modeling and Control of Data Transmission

Huang Tanhao (), Jian Siqi (), Chen Jinwen () and Dai Yanan ()
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Huang Tanhao: Tsinghua University
Jian Siqi: Capital University of Economics and Business
Chen Jinwen: Tsinghua University
Dai Yanan: Tsinghua University

Methodology and Computing in Applied Probability, 2023, vol. 25, issue 3, 1-18

Abstract: 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.

Keywords: Data transmission; High frequency trade; Stochastic recursive system; Controlled Markov process; Law of large numbers; 60F99; 90C40; 93E99; 37A50 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s11009-023-10048-9

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