Ergodic control of reflected diffusions with jumps

Ergodic control of reflected diffusions with jumps 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Ergodic control of reflected diffusions with jumps

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Publisher
Springer-Verlag
Copyright
Copyright © 1997 by Springer-Verlag New York Inc.
Subject
Mathematics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization; Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Methods
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/BF02683323
Publisher site
See Article on Publisher Site

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.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Mar 1, 1997

References

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