Ergodic control of reflected diffusions with jumps

DOI10.1007/BF02683323zbMATH Open0876.93095OpenAlexW3163087907MaRDI QIDQ5961566FDOQ5961566

Authors: José-Luis Menaldi, M. Robin

Publication date: 1 December 1997

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02683323

Recommendations

An Ergodic Control Problem for Reflected Diffusion with Jump
scientific article; zbMATH DE number 1254182
Ergodic Control of a Class of Jump Diffusions with Finite Lévy Measures and Rough Kernels
Risk-sensitive ergodic control of reflected diffusion processes in orthant
On ergodic control of switching processes

zbMATH Keywords

Hamilton-Jacobi-Bellman equation Girsanov transformation ergodic control problem reflected jump diffusions

Mathematics Subject Classification ID

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

Estimates near the boundary for solutions of elliptic partial differential equations satisfying general boundary conditions II
Title not available (Why is that?)
Title not available (Why is that?)
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
Title not available (Why is that?)
On pababolic oblique derivative problem with holder continuous coefficients
Title not available (Why is that?)
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
Title not available (Why is that?)
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
Title not available (Why is that?)
Title not available (Why is that?)

Cited In (12)

Title not available (Why is that?)
A partial history of the early development of continuous-time nonlinear stochastic systems theory
The Evans-Krylov theorem for nonlocal fully nonlinear equations
An Ergodic Control Problem for Reflected Diffusion with Jump
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
Comparison results for reflected jump-diffusions in the orthant with variable reflection directions and stability applications
Long-Run Risk-Sensitive Impulse Control

This page was built for publication: Ergodic control of reflected diffusions with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5961566)