An Ergodic Control Problem for Reflected Diffusion with Jump

DOI10.1093/imamci/1.4.309zbMath0638.93079OpenAlexW2044570287MaRDI QIDQ3780976

Maurice Robin, José Luis Menaldi

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

optimal stoppinginvariant measureimpulse controljump-diffusion processHamilton- Jacobi-Bellman equationdiscounted controlMarkov feedbacks

Mathematics Subject Classification ID

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

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