Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis
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DOI: 10.1016/j.spa.2020.06.008
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- Ari Arapostathis & Guodong Pang, 2018. "Infinite-Horizon Average Optimality of the N-Network in the Halfin–Whitt Regime," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 838-866, August.
- Cosso, Andrea & Fuhrman, Marco & Pham, Huyên, 2016. "Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 1932-1973.
- Arapostathis, Ari & Pang, Guodong, 2019. "Infinite horizon asymptotic average optimality for large-scale parallel server networks," Stochastic Processes and their Applications, Elsevier, vol. 129(1), pages 283-322.
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Keywords
Controlled jump diffusions; ergodic Hamilton–Jacobi–Bellman (HJB) equation; Stable Markov optimal control; Pathwise optimality; Approximate HJB equation; Spatial truncation;All these keywords.
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