Ergodic Control of a Class of Jump Diffusions with Finite Lévy Measures and Rough Kernels
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Publication:4632537
DOI10.1137/18M1166717zbMath1415.93288arXiv1801.07669MaRDI QIDQ4632537
Guodong Pang, Luis A. Caffarelli, Yi Zheng, Aristotle Arapostathis
Publication date: 30 April 2019
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.07669
Hamilton-Jacobi-Bellman equationergodic controlLévy processcompound Poisson processcontrolled jump diffusions
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Existence-Uniqueness for Nonlinear Integro-differential Equations with Drift in \({\boldsymbol{\mathbb{R}}^{{\textrm{d}}}}\) ⋮ Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis ⋮ Optimal scheduling of critically loaded multiclass \(GI/m/n+m\) queues in an alternating renewal environment ⋮ Ergodicity of a Lévy-driven SDE arising from multiclass many-server queues ⋮ On the policy improvement algorithm for ergodic risk-sensitive control ⋮ Generalized principal eigenvalues on \({\mathbb{R}}^d\) of second order elliptic operators with rough nonlocal kernels ⋮ Risk-sensitive control for a class of diffusions with jumps
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