Ergodic Control of Reflected Diffusions with Jumps
نویسندگان
چکیده
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 to be optimized. By means of the Hamilton-Jacobi-Bellman equation, an optimal stationary feedback is constructed.
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