Abstract
In this paper we study the minimization problem of the infinite-horizon expected exponential utility total cost for continuous-time piecewise deterministic Markov processes with the control acting continuously on the jump intensity $$\lambda $$ and on the transition measure Q of the process. The action space is supposed to depend on the state variable and the state space is considered to have a frontier such that the process jumps whenever it touches this boundary. We characterize the optimal value function as the minimal solution of an integro-differential optimality equation satisfying some boundary conditions, as well as the existence of a deterministic stationary optimal policy. These results are obtained by using the so-called policy iteration algorithm, under some continuity and compactness assumptions on the parameters of the problem, as well as some non-explosive conditions for the process.
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