Ergodic control of reflected diffusions with jumps

DOI10.1007/BF02683323zbMath0876.93095OpenAlexW3163087907MaRDI QIDQ5961566

José Luis Menaldi, Maurice Robin

Publication date: 1 December 1997

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02683323

zbMATH Keywords

Hamilton-Jacobi-Bellman equationergodic control problemGirsanov transformationreflected jump diffusions

Mathematics Subject Classification ID

Related Items (9)

A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ An analytic approach to purely nonlocal Bellman equations arising in models of stochastic control ⋮ Optimal uniform error estimates for moving <scp>least‐squares</scp> collocation with application to option pricing under jump‐diffusion processes ⋮ Long-Run Impulse Control with Generalized Discounting ⋮ Ergodic switching control for diffusion-type processes ⋮ The Evans-Krylov theorem for nonlocal fully nonlinear equations ⋮ Long-Run Risk-Sensitive Impulse Control ⋮ Ergodic Control of a Class of Jump Diffusions with Finite Lévy Measures and Rough Kernels ⋮ The Evans-Krylov theorem for nonlocal parabolic fully nonlinear equations

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