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

invariant measureoptimal stoppingjump-diffusion processimpulse controlHamilton- Jacobi-Bellman equationdiscounted controlMarkov feedbacks

Mathematics Subject Classification ID

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

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• Nearly Optimal Impulsive Controls for Reflected Wideband Width Process
• A maximal inequality for stochastic convolution integrals on hilbert spaces and space-time regularity of linear stochastic partial differential equations
• Jump-diffusions with controlled jumps: Existence and numerical methods
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• Ergodic control of reflected diffusions with jumps
• The boundary harnack principle for some degenerate elliptic operators
• Risk-sensitive stochastic differential games with reflecting diffusions
• Singular ergodic control for multidimensional Gaussian processes
• Green's function and invariant density for an integro-differential operator of second order
• Ergodic Control of a Class of Jump Diffusions with Finite Lévy Measures and Rough Kernels
• A note on stochastic optimal control of reflected diffusions with jumps
• An optimal stopping time problem with time average cost in a bounded interval
• Switching and impulsive control of a reflected diffusion
• Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis
• Quasilinear, parabolic, integro-differential problems with nonlinear oblique boundary conditions
• On singular stochastic control problems for diffusion with jumps
• Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant
• On ergodic control of switching processes
• Singular control problems in bounded intervals
• Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain

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