Ergodic control of diffusions with random intervention times

DOI10.1017/JPR.2020.80zbMath1459.49010arXiv1909.05047OpenAlexW2972666676WikidataQ114118028 ScholiaQ114118028MaRDI QIDQ4964777

Jukka Lempa, Harto Saarinen

Publication date: 3 March 2021

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.05047

zbMATH Keywords

diffusion processergodic controlresolvent operatorPoisson processsingular stochastic controlbounded variation control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Diffusion processes (60J60) Impulsive optimal control problems (49N25) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (3)

Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment ⋮ Two-sided Poisson control of linear diffusions ⋮ A note on asymptotics between singular and constrained control problems of one-dimensional diffusions

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