An Ergodic Control Problem for Reflected Diffusion with Jump

DOI10.1093/IMAMCI/1.4.309zbMATH Open0638.93079OpenAlexW2044570287MaRDI QIDQ3780976FDOQ3780976

M. 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

Recommendations

• Ergodic control of reflected diffusions with jumps
• Jump-diffusions with controlled jumps: Existence and numerical methods
• scientific article; zbMATH DE number 1254182
• On singular stochastic control problems for diffusion with jumps
• scientific article

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)

Cited In (18)

• Title not available (Why is that?)
• Risk-sensitive stochastic differential games with reflecting diffusions
• Nearly Optimal Impulsive Controls for Reflected Wideband Width Process
• Singular ergodic control for multidimensional Gaussian processes
• Switching and impulsive control of a reflected diffusion
• Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant
• Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain
• A maximal inequality for stochastic convolution integrals on hilbert spaces and space-time regularity of linear stochastic partial differential equations
• A note on stochastic optimal control of reflected diffusions with jumps
• Green's function and invariant density for an integro-differential operator of second order
• Ergodic control of reflected diffusions with jumps
• Ergodic Control of a Class of Jump Diffusions with Finite Lévy Measures and Rough Kernels
• On singular stochastic control problems for diffusion with jumps
• The boundary harnack principle for some degenerate elliptic operators
• Quasilinear, parabolic, integro-differential problems with nonlinear oblique boundary conditions
• An optimal stopping time problem with time average cost in a bounded interval
• Jump-diffusions with controlled jumps: Existence and numerical methods
• Singular control problems in bounded intervals

This page was built for publication: An Ergodic Control Problem for Reflected Diffusion with Jump

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3780976)