Ergodic control of reflected diffusions with jumps

Applied Mathematics and Optimization

Volumn 35, Issue 2, 1997, Pages 117-137

  Menaldi, J L ^a   Robin, M ^b  

^a WAYNE STATE UNIVERSITY   (United States)

^b CERN   (Switzerland)

Author keywords

Discounted control problem; Doeblin condition; Dynamic programming principle; Ergodic optimal control; Girsanov transformation; Green function; Hamilton Jacobi Bellman equation; Reflected jump diffusion

Indexed keywords

BOUNDARY VALUE PROBLEMS; CONTROL THEORY; DYNAMIC PROGRAMMING; FEEDBACK; GREEN'S FUNCTION; MATHEMATICAL TRANSFORMATIONS; OPTIMIZATION; PROBABILITY; PROCESS CONTROL;

DISCOUNTED CONTROL PROBLEM; DOEBLIN CONDITION; ERGODIC CONTROL; GIRSANOV TRANSFORMATION; HAMILTON-JACOBI-BELLMAN EQUATION; REFLECTED JUMP DIFFUSION;

OPTIMAL CONTROL SYSTEMS;

EID: 0031104117     PISSN: 00954616     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF02683323     Document Type: Article

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