ERGODIC SWITCHING CONTROL FOR MARKOV-FELLER PROCESSES I

We consider control problems with long term average (or ergodic) cost for Markov switching processes (zt, nt ), nt being a discrete component with values in a finite set N . The control acts only on this discrete component and consists of immediate switching actions. We solve the ergodic problem in several situations extending previous works, mainly when zt is a reflected diffusion with or without jumps and when the set of control values is strictly smaller than N .