Abstract
A dynamic programming approach is used for a class of optimal control problems for diffusion processes with jumps. The control of the system is an adapted process with bounded variation, which acts continuously and impulsively on the system. This class of problems includes for instance, the so-called cheap control problems and monotone follower problems. Results concerning the characterization of the optimal cost and the construction of an optimal feedback law are established.
This research has been supported in part by U.S. Army Research Office Contract DAAG29-83-K-0014 and completed during a visit at the INRIA and the University Paris-Orsay.
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Menaldi, J.L., Robin, M. (1985). Some control problems of degenerate diffusions with unbounded cost. In: Dolcetta, I.C., Fleming, W.H., Zolezzi, T. (eds) Recent Mathematical Methods in Dynamic Programming. Lecture Notes in Mathematics, vol 1119. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0074783
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DOI: https://doi.org/10.1007/BFb0074783
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