On ergodic control of switching processes
The purpose of the present paper is two-fold: 1) to discuss to what extent existing results in this area can be applied to the authors' situation, in particular when the control acts only on the discrete component, and to study what can be done when the assumptions are weakened, namely when the cost is not strictly positive everywhere and the possibility of multiple simultaneous impulse; 2) to show that a large class of switching reflected diffusions with jumps satisfies the assumptions for which the ergodic control problem can be solved. As a particular example, a detailed study of a general class of switching reflected diffusion with jumps having oblique boundary conditions is carried out.
- Control problem for the impulse process under stochastic optimization procedure and Lévy conditions
- Ergodic problem for optimal stochastic switching
- Ergodic switching control for diffusion-type processes
- Ergodic Control of Switching Diffusions
- Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities
- Using control to shape stochastic escape and switching dynamics
- Ergodic control of reflected diffusions with jumps
- Discrete-time switching control in random walks
- A numerical method for ergodic optimal control of switching diffusions with reflection
- Ergodic switching control for Markov chains
- Discrete-time hybrid control with risk-sensitive discounted costs
- Ergodic switching control for Markov-Feller processes. I
- Switching and impulsive control of a reflected diffusion
- Algebraic invariance conditions in the study of approximate (null-)controllability of Markov switch processes
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