An Ergodic Control Problem for Reflected Diffusion with Jump |
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| Authors: | MENALDI, JOSE LUIS ROBIN, MAURICE |
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| Affiliation: | Department of Mathematics, Wayne State University Detroit, Michigan 48202, U.S.A.
INRIA-Rocquencourt Boîte Postale 105, 78153 Le Chesnay Cedex, France |
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| Abstract: | The control of the drift of a stochastic differential equationwith jump term is considered for the long-run average cost.The convergence of the discounted problem is studied, as wellas the corresponding dynamic programming condition.  This research was supported in part by U.S. Army Research Officeunder contract DAAG29-83-K-0014 and completed during a visitto INRIA. |
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