We study the ergodic control problem for a class of jump diffusions in Rd which are controlled through the drift with bounded controls. The Lévy measure is finite, but has no particular structure; it can be anisotropic and singular. Moreover, there is no blanket ergodicity assumption for the controlled process. Unstable behavior is “discouraged” by the running cost which satisfies a mild coercive hypothesis (i.e., is near-monotone). We first study the problem in its weak formulation as an optimization problem on the space of infinitesimal ergodic occupation measures and derive the Hamilton–Jacobi–Bellman equation under minimal assumptions on the parameters, including verification of optimality results, using only analytical arguments. We also examine the regularity of invariant measures. Then, we address the jump diffusion model and obtain a complete characterization of optimality.
All Science Journal Classification (ASJC) codes
- Control and Optimization
- Applied Mathematics