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.
Applied Mathematics and Optimization – Springer Journals
Published: Mar 1, 1997
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