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Applied Mathematics and Optimization, Vol.35, No.2, 117-137, 1997
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.
Keywords:AVERAGE COST;MARKOV-PROCESSES