An Ergodic Control Problem for Reflected Diffusion with Jump

DOI10.1093/IMAMCI/1.4.309MaRDI QIDQ3780976zbMATH OpenOpenAlexFDO

Authors José-Luis Menaldi, M. Robin

Publication date 1984

Published in IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imamci/1.4.309

zbMATH Keywords

invariant measureoptimal stoppingjump-diffusion processimpulse controlHamilton- Jacobi-Bellman equationdiscounted controlMarkov feedbacks

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20) Measure-theoretic ergodic theory (28D99)

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• Nearly Optimal Impulsive Controls for Reflected Wideband Width Process
• Singular ergodic control for multidimensional Gaussian processes
• Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis
• Switching and impulsive control of a reflected diffusion
• Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant
• Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain
• A maximal inequality for stochastic convolution integrals on hilbert spaces and space-time regularity of linear stochastic partial differential equations
• A note on stochastic optimal control of reflected diffusions with jumps
• Green's function and invariant density for an integro-differential operator of second order
• Ergodic control of reflected diffusions with jumps
• Ergodic Control of a Class of Jump Diffusions with Finite Lévy Measures and Rough Kernels
• On ergodic control of switching processes
• On singular stochastic control problems for diffusion with jumps
• The boundary harnack principle for some degenerate elliptic operators
• Quasilinear, parabolic, integro-differential problems with nonlinear oblique boundary conditions
• An optimal stopping time problem with time average cost in a bounded interval
• Jump-diffusions with controlled jumps: Existence and numerical methods

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