Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis

Ari Arapostathis, Guodong Pang and Yi Zheng

Stochastic Processes and their Applications, 2020, vol. 130, issue 11, 6733-6756

Abstract: We study the ergodic control problem for a class of controlled jump diffusions driven by a compound Poisson process. This extends the results of Arapostathis et al. (2019) to running costs that are not near-monotone. This generality is needed in applications such as optimal scheduling of large-scale parallel server networks.

Keywords: Controlled jump diffusions; ergodic Hamilton–Jacobi–Bellman (HJB) equation; Stable Markov optimal control; Pathwise optimality; Approximate HJB equation; Spatial truncation (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spa.2020.06.008

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