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Full-Text Articles in Physical Sciences and Mathematics
Singular Ergodic Control For Multidimensional Gaussian-Poisson Processes, J. L. Menaldi, M. Robin
Singular Ergodic Control For Multidimensional Gaussian-Poisson Processes, J. L. Menaldi, M. Robin
Mathematics Faculty Research Publications
Singular control for multidimensional Gaussian-Poisson processes with a long-run (or ergodic) and a discounted criteria are discussed. The dynamic programming yields the corresponding Hamilton-Jacobi-Bellman equations, which are discussed. Full details on the proofs and further extensions are left for coming works.