Ergodic control of reflected diffusions with jumps

Nonlinear elliptic equations (35J60) Dynamic programming in optimal control and differential games (49L20) Lyapunov and other classical stabilities (Lagrange, Poisson, (L^p, l^p), etc.) in control theory (93D05) Optimal stochastic control (93E20)

Cites Work

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Estimates near the boundary for solutions of elliptic partial differential equations satisfying general boundary conditions II
Long-term average cost control problems for continuous time Markov processes: A survey
Semi-groupes de Feller sur une variété à bord compacte et problèmes aux limites intégro-différentiels du second ordre donnant lieu au principe du maximum
On pababolic oblique derivative problem with holder continuous coefficients
Reflected diffusion processes with jumps
On Some Impulse Control Problems with Long Run Average Cost
Reflexion discontinue et systèmes stochastiques
On the compactness method in general ergodic impulsive control of markov processes
Maximum principles for integro-differential parabolic operators
On ergodic stopping and impulsive control problem for nonuniformly ergodic Markov processes
On Optimal Control of a Non-Terminating Diffusion Process with Reflection
On average cost stopping time problems
ON PROCESSES WITH LÉVY GENERATING OPERATOR IN A HALF-SPACE
ON STOCHASTIC DIFFERENTIAL EQUATIONS WITH BOUNDARY CONDITIONS IN A HALF-PLANE
An Ergodic Control Problem for Reflected Diffusion with Jump
Green's function and invariant density for an integro-differential operator of second order
Ergodic problem for optimal stochastic switching

Cited In (10)

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A partial history of the early development of continuous-time nonlinear stochastic systems theory
The Evans-Krylov theorem for nonlocal fully nonlinear equations
Long-Run Impulse Control with Generalized Discounting
Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes
Ergodic Control of a Class of Jump Diffusions with Finite Lévy Measures and Rough Kernels
An analytic approach to purely nonlocal Bellman equations arising in models of stochastic control
Ergodic switching control for diffusion-type processes
The Evans-Krylov theorem for nonlocal parabolic fully nonlinear equations
Long-Run Risk-Sensitive Impulse Control

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