Publication Cover
Stochastics
An International Journal of Probability and Stochastic Processes
Volume 85, 2013 - Issue 4: Taksar Memorial Issue
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Original Articles

Singular ergodic control for multidimensional Gaussian–Poisson processes

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Pages 682-691 | Received 28 Feb 2013, Accepted 19 Mar 2013, Published online: 30 May 2013
 

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.

Acknowledgement

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

Notes

Additional information

Notes on contributors

J. L. Menaldi

1 1. [email protected].

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