On optimal ergodic control of diffusions with jumps
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A drift control of a diffusion with jumps into the whole space is considered. The corresponding Hamilton-Jacobi-Bellman (HJB) equation is a quasi-linear integro-differential equation of second-order. On the basis of existence and uniqueness of an invariant density function for a jump diffusion with locally bounded, Borel measurable drift coefficient, existence and uniqueness (up to an additive constant) of the solution to the ergodic HJB equation can be proved. For the entire collection see [Zbl 0905.00042].
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