Ergodic Control of a Class of Jump Diffusions with Finite Lévy Measures and Rough Kernels

DOI10.1137/18M1166717zbMath1415.93288arXiv1801.07669MaRDI QIDQ4632537

Guodong Pang, Luis A. Caffarelli, Yi Zheng, Aristotle Arapostathis

Publication date: 30 April 2019

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.07669

zbMATH Keywords

Hamilton-Jacobi-Bellman equationergodic controlLévy processcompound Poisson processcontrolled jump diffusions

Mathematics Subject Classification ID

Related Items (7)

Existence-Uniqueness for Nonlinear Integro-differential Equations with Drift in \({\boldsymbol{\mathbb{R}}^{{\textrm{d}}}}\) ⋮ Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis ⋮ Optimal scheduling of critically loaded multiclass \(GI/m/n+m\) queues in an alternating renewal environment ⋮ Ergodicity of a Lévy-driven SDE arising from multiclass many-server queues ⋮ On the policy improvement algorithm for ergodic risk-sensitive control ⋮ Generalized principal eigenvalues on \({\mathbb{R}}^d\) of second order elliptic operators with rough nonlocal kernels ⋮ Risk-sensitive control for a class of diffusions with jumps

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Non-local gradient dependent operators
• Regularity results for nonlocal equations by approximation
• On the \(f\)-norm ergodicity of Markov processes in continuous time
• Regularity results for stable-like operators
• On nonuniqueness of solutions to elliptic equations for probability measures
• Stochastic differential equations with jumps
• Ergodicity of a Lévy-driven SDE arising from multiclass many-server queues
• Markov processes associated with certain integro-differential operators
• Positive solutions with weak isolated singularities to some semilinear elliptic equations
• Existence of strong solutions for Itô's stochastic equations via approximations
• Harmonic functions for a class of integro-differential operators
• Ergodicity for multidimensional jump diffusions with position dependent jump rate
• On parabolic inequalities for generators of diffusions with jumps
• Occupation measures for controlled Markov processes: Characterization and optimality
• ON REGULARITY OF TRANSITION PROBABILITIES AND INVARIANT MEASURES OF SINGULAR DIFFUSIONS UNDER MINIMAL CONDITIONS
• On the Impulse Control of Jump Diffusions
• Impulse Control of Multidimensional Jump Diffusions
• Nonlocal Operators with Applications to Image Processing
• Ergodic Properties of Recurrent Diffusion Processes and Stabilization of the Solution to the Cauchy Problem for Parabolic Equations
• Regularity theory for fully nonlinear integro-differential equations
• A criterion for invariant measures of markov processes
• Harnack's inequality for cooperative weakly coupled elliptic systems
• A Generalization of Khasminskii's Theorem on the Existence of Invariant Measures for Locally Integrable Drifts
• Uniqueness of solutions of elliptic equations and uniqueness of invariant measures of diffusions
• Optimal Inventory Control with Jump Diffusion and Nonlinear Dynamics in the Demand
• Financial Modelling with Jump Processes
• Applied stochastic control of jump diffusions
• Ergodic control of reflected diffusions with jumps
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Ergodic Control of a Class of Jump Diffusions with Finite Lévy Measures and Rough Kernels