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We then study renewal diffusions. Using their regenerative structure, we derive explicit formulas for the ergodic cost. These formulas are applied to optimization problems over families of drift coefficients, yielding explicit characterizations of optimal drift parameters in several examples. Finally, we study an infinite-penalty regime in which boundary hitting is prohibited and characterize the corresponding optimal ergodic cost.
From: Sergey Nikitin [view email]
[v1]
Mon, 22 Jun 2026 08:10:14 UTC (27 KB)
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