Robust ergodic singular control for jump-diffusions with drift and intensity uncertainty reduces the HJB to a nonlinear integro-differential free-boundary problem whose worst-case model is bang-bang and whose optimal policy uses reflecting barriers; exponential jumps further reduce it to ODEs.
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Robust Ergodic Control of Jump-Diffusion Systems under Drift and Intensity Uncertainty
Robust ergodic singular control for jump-diffusions with drift and intensity uncertainty reduces the HJB to a nonlinear integro-differential free-boundary problem whose worst-case model is bang-bang and whose optimal policy uses reflecting barriers; exponential jumps further reduce it to ODEs.