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

discounted controlHamilton- Jacobi-Bellman equationimpulse controlinvariant measurejump-diffusion processMarkov feedbacksoptimal stopping

Mathematics Subject Classification ID

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

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