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IMA Journal of Mathematical Control and Information 1984 1(4):309-322; doi:10.1093/imamci/1.4.309
© 1984 by Institute of Mathematics and its Applications
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An Ergodic Control Problem for Reflected Diffusion with Jump

JOSÉ LUIS MENALDI {dagger} and MAURICE ROBIN

Department of Mathematics, Wayne State University Detroit, Michigan 48202, U.S.A.
INRIA-Rocquencourt Boîte Postale 105, 78153 Le Chesnay Cedex, France

The control of the drift of a stochastic differential equation with jump term is considered for the long-run average cost. The convergence of the discounted problem is studied, as well as the corresponding dynamic programming condition.

{dagger} This research was supported in part by U.S. Army Research Office under contract DAAG29-83-K-0014 and completed during a visit to INRIA.


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