Ergodic control of reflected diffusions with jumps
Ergodicity properties of a controlled jump diffusion process reflected from the boundary of a bounded domain are discussed. The drift and the jump terms are controlled in order to minimize an average cost per unit time over the infinity time interval. Earlier results of the authors [IMA J. Math. Control Inf. 1, 309-322 (1984; Zbl 0638.93079) and Boll. Unione Mat. Ital., VII. Ser., B 3, 723-734 (1989; Zbl 0675.60040)] are extended to unbounded jumps measures. The controlled process is generated via a Girsanov change of probability. An optimal stationary feedback is constructed by means of the Hamilton-Jacobi-Bellman equation. The paper consists of three sections. In Section 1 the basic assumptions and properties of reflected diffusions with jumps are given. Section 2 discusses the existence of a unique invariant measure for these processes. In Section 3 the Hamilton-Jacobi-Bellman equation for the ergodic control problem is studied.
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