A control problem with fuel constraint and Dawson-Watanabe superprocesses
Probability
2013-12-06 v7 Optimization and Control
Computational Finance
Abstract
We solve a class of control problems with fuel constraint by means of the log-Laplace transforms of -functionals of Dawson-Watanabe superprocesses. This solution is related to the superprocess solution of quasilinear parabolic PDEs with singular terminal condition. For the probabilistic verification proof, we develop sharp bounds on the blow-up behavior of log-Laplace functionals of -functionals, which might be of independent interest.
Keywords
Cite
@article{arxiv.1207.5809,
title = {A control problem with fuel constraint and Dawson-Watanabe superprocesses},
author = {Alexander Schied},
journal= {arXiv preprint arXiv:1207.5809},
year = {2013}
}
Comments
Published in at http://dx.doi.org/10.1214/12-AAP908 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)