Asymptotics of Control Problem for the Impulse Perturbation Process under Stochastic Optimization Procedure and Levy Approximation Conditions

Abstract

The stochastic optimization procedure and limit generators of dynamical system are constructed for a system of stochastic differential equations with Markov switching and impulse perturbation under Levy approximating conditions. In particular, we discuss how the behavior of the boundary process depends on the pre-limiting normalization of the stochastic evolutionary system in the ergodic Markov environment.