Document Type

Article

Abstract

Singular control for multidimensional Gaussian-Poisson processes with a long-run (or ergodic) and a discounted criteria are discussed. The dynamic programming yields the corresponding Hamilton-Jacobi-Bellman equations, which are discussed. Full details on the proofs and further extensions are left for coming works.

Disciplines

Numerical Analysis and Computation | Probability

Comments

This is an Accepted Manuscript of an article published by Taylor & Francis in Stochastics: An International Journal of Probability and Stochastic Processes on 30 May 2013, available online: http://www.tandfonline.com/10.1080/17442508.2013.795569.

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