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On the risk-sensitive cost for a Markovian multiclass queue with priority

   
@article{ECP2905,
	author = {Rami Atar and Anindya Goswami and Adam Shwartz},
	title = {On the risk-sensitive cost for a Markovian multiclass queue with priority},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {19},
	year = {2014},
	keywords = {Multi-class M/M/1, risk-sensitive control, large deviations, differential games},
	abstract = {A multi-class M/M/1 system, with service rate $\mu_in$ for class-$i$ customers, is considered with the risk-sensitive cost criterion $n^{-1}\log E\exp\sum_ic_iX^n_i(T)$, where $c_i>0$, $T>0$ are constants, and $X^n_i(t)$ denotes the class-$i$ queue-length at time $t$, assuming the system starts empty. An asymptotic upper bound (as $n\to\infty$) on the performance under a fixed priority policy is attained, implying that the policy is asymptotically optimal when $c_i$ are sufficiently large. The analysis is based on the study of an underlying differential game.},
	pages = {no. 11, 1-13},
	issn = {1083-589X},
	doi = {10.1214/ECP.v19-2905},    
        url = {http://ecp.ejpecp.org/article/view/2905}}