Singular ergodic control for multidimensional Gaussian–Poisson processes

Abstract

Singular control for multidimensional Gaussian–Poisson processes with a long-run (or ergodic) and a discounted criteria is discussed. The corresponding Hamilton–Jacobi–Bellman equations are discussed. Complete details on the proofs and further extensions are left for future works.

Keywords:

• singular control
• ergodic control
• Gaussian processes
• Poisson processes

Keywords:

• Primary 49J40
• Secondary 60J60, 60J75

Acknowledgement

The authors would like to thank the referee for the detailed first review that allowed us to improve our paper.

Notes

^1. [email protected].

Additional information

Notes on contributors

J. L. Menaldi

1 1. [email protected].