Ergodic control of reflected diffusions with jumps

DOI10.1007/BF02683323MaRDI QIDQ5961566zbMATHOpenAlexFDO

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

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

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)

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An Ergodic Control Problem for Reflected Diffusion with Jump
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Reflected diffusion processes with jumps
Reflexion discontinue et systèmes stochastiques
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