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Ergodic control of reflected diffusions with jumps |
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| Authors: | J. -L. Menaldi M. Robin |
| Affiliation: | (1) Department of Mathematics, Wayne State University, 48202 Detroit, MI, USA;(2) European Laboratory for Particle Physics (CERN), CH-1211 Geneve 23, Suisse |
| Abstract: | We discuss ergodicity properties of a controlled jumps diffusion process reflected from the boundary of a bounded domain. The control parameters act on the drift term and on a first-order-type jump density. The controlled process is generated via a Girsanov change of probability, and a long-run average criterion is optimized. An optimal stationary feedback is constructed by means of the Hamilton-Jacobi-Bellman equation. |
| Keywords: | Reflected jump diffusion Ergodic optimal control Dynamic programming principle Hamilton-Jacobi-Bellman equation Green function Girsanov transformation Doeblin condition Discounted control problem |
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