Jump-diffusions with controlled jumps: Existence and numerical methods (Q1584635)

An optimal control problem for a reflected jump-diffusion model with controlled drift and jump terms is considered. The analysis is based on weak convergence methods using relaxed controls and introducing a concept of relaxed Poisson measure. This enables to prove the existence of optimal relaxed controls and to apply modifications of numerical algorithms, developed by the author in earlier work, for computing the value function and suboptimal ordinary controls.