Singular ergodic control for multidimensional Gaussian-Poisson processes

被引：5

作者：

Menaldi, J. L. ^{[1
]}

Robin, M. ^{[2
]}

机构：

[1] Wayne State Univ, Dept Math, Detroit, MI 48202 USA

[2] Fdn Campus Paris Saclay, Digiteo, F-91190 St Aubin, France

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2013年 / 85卷 / 04期

关键词：

singular control; ergodic control; Gaussian processes; Poisson processes; STOCHASTIC-CONTROL; JUMPS; REGULARITY; DIFFUSION;

D O I：

10.1080/17442508.2013.795569

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Singular control for multidimensional Gaussian-Poisson processes with a long-run (or ergodic) and a discounted criteria is discussed. The corresponding Hamilton-Jacobi-Bellman equations are discussed. Complete details on the proofs and further extensions are left for future works.

引用

页码：682 / 691

页数：10

共 13 条

[1]

[Anonymous], 1988, Perturbation methods in optimal control

[2]

Arapostathis A., 2012, Ergodic control of diffusion processes, Encyclopedia of Mathematics and its Applications

[3] SINGULAR CONTROL AND IMPULSE CONTROL: A COMMON APPROACH [J].