An Ergodic Control Problem for Reflected Diffusion with Jump

1 December 1984

journal article
Published by Oxford University Press (OUP) in IMA Journal of Mathematical Control and Information

Vol. 1 (4) , 309-322
https://doi.org/10.1093/imamci/1.4.309

Abstract

The control of the drift of a stochastic differential equation with jump term is considered for the long-run average cost. The convergence of the discounted problem is studied, as well as the corresponding dynamic programming condition.

Keywords

STOCHASTIC
DRIFT
EQUATION
CONVERGENCE
DIFFERENTIAL
ERGODIC
CONTROL PROBLEM
CORRESPONDING
DISCOUNTED
REFLECTED DIFFUSION

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