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Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis

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  • Arapostathis, Ari
  • Pang, Guodong
  • Zheng, Yi

Abstract

We study the ergodic control problem for a class of controlled jump diffusions driven by a compound Poisson process. This extends the results of Arapostathis et al. (2019) to running costs that are not near-monotone. This generality is needed in applications such as optimal scheduling of large-scale parallel server networks.

Suggested Citation

  • Arapostathis, Ari & Pang, Guodong & Zheng, Yi, 2020. "Ergodic control of diffusions with compound Poisson jumps under a general structural hypothesis," Stochastic Processes and their Applications, Elsevier, vol. 130(11), pages 6733-6756.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:11:p:6733-6756
    DOI: 10.1016/j.spa.2020.06.008
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    References listed on IDEAS

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    1. Cosso, Andrea & Fuhrman, Marco & Pham, Huyên, 2016. "Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 1932-1973.
    2. Arapostathis, Ari & Pang, Guodong, 2019. "Infinite horizon asymptotic average optimality for large-scale parallel server networks," Stochastic Processes and their Applications, Elsevier, vol. 129(1), pages 283-322.
    3. Ari Arapostathis & Guodong Pang, 2018. "Infinite-Horizon Average Optimality of the N-Network in the Halfin–Whitt Regime," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 838-866, August.
    Full references (including those not matched with items on IDEAS)

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