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

RAMI ATAR, Anindya Goswami, Adam Shwartz

Research output: Contribution to journalArticlepeer-review


A multi-class M/M/1 system, with service rate μin for class-i customers, is considered with the risk-sensitive cost criterion n-1log E exp∑iciXni(T), where ci>0, T>0 are constants, and Xni(t) denotes the class-i queue-length at time t, assuming the system starts empty. An asymptotic upper bound (as n→∞) on the performance under a fixed priority policy is attained, implying that the policy is asymptotically optimal when ci are sufficiently large. The analysis is based on the study of an underlying differential game.

Original languageEnglish
JournalElectronic Communications in Probability
StatePublished - 27 Feb 2014


  • Differential games
  • Large deviations
  • Multi-class M/M/1
  • Risk-sensitive control

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty


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