On ergodic impulse control with constraint

Wednesday, May 9, 2018 - 11:00am - 11:50am
Lind 305
Maurice Robin (École Polytechnique)
*also affiliated with University Paris-Saclay

We study the impulse control of a general Markov-Feller process in a compact metric space E with a long term average (or ergodic) cost when the impulse instants are restricted to be the arrival times of an exogenous signal process; this restriction is referred to as a constraint. The admissible impulses values belong to a compact subset Γ(x) of E depending on the state x. A characterization of the optimal cost is obtained as solution of a HJB equation using an auxiliary ergodic control problem in discrete time, and an optimal impulse control is identified. Some extensions are discussed. This talk is based on a joint work with JL Menaldi.