Our purpose is to study an ergodic linear equation associated to diffusion processes with jumps in the whole space. This integro-differential equation plays a fundamental role in ergodic control problems of second order Markov processes. The key result is to prove the existence and uniqueness of an invariant density function for a jump diffusion, whose lower order coefficients are only Borel measurable. Based on this invariant probability, existence and uniqueness (up to an additive constant) of solutions to the ergodic linear equation are established.
Analysis | Numerical Analysis and Computation | Probability
Menaldi, J.-L. & Robin, M. Appl Math Optim (1999) 40: 105. doi: 10.1007/s002459900118