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Full-Text Articles in Physical Sciences and Mathematics
Invariant Measure For Diffusions With Jumps, Jose-Luis Menaldi, Maurice Robin
Invariant Measure For Diffusions With Jumps, Jose-Luis Menaldi, Maurice Robin
Mathematics Faculty Research Publications
Our purpose is to study an ergodic linear equation associated to diffusion processes with jumps in the whole space. This integro-differential equation plays a fundamental role in ergodic control problems of second order Markov processes. The key result is to prove the existence and uniqueness of an invariant density function for a jump diffusion, whose lower order coefficients are only Borel measurable. Based on this invariant probability, existence and uniqueness (up to an additive constant) of solutions to the ergodic linear equation are established.
On Optimal Ergodic Control Of Diffusions With Jumps, Jose-Luis Menaldi, Maurice Robin
On Optimal Ergodic Control Of Diffusions With Jumps, Jose-Luis Menaldi, Maurice Robin
Mathematics Faculty Research Publications
Our purpose is to study an optimal ergodic control problem where the state of the system is given by a diffusion process with jumps in the whole space. The corresponding dynamic programming (or Hamilton-Jacobi-Bellman) equation is a quasi-linear integro-differential equation of second order. A key result is to prove the existence and uniqueness of an invariant density function for a jump diffusion, whose lower order coefficients are only locally bounded and Borel measurable. Based on this invariant probability, existence and uniqueness (up to an additive constant) of solutions to the ergodic HJB equation is established.