Scaling limit for stochastic control problems in population dynamics
Probability
2020-10-06 v3 Optimization and Control
Abstract
Going from a scaling approach for birth/death processes, we investigate the scaling limit of solutions to non-Markovian stochastic control problems by studying the convergence of solutions to BSDEs driven a sequence of converging martingales. In particular we manage to describe how the values and optimal controls of control problems converge when the models converge towards a continuous population model.
Cite
@article{arxiv.1911.00672,
title = {Scaling limit for stochastic control problems in population dynamics},
author = {Paul Jusselin and Thibaut Mastrolia},
journal= {arXiv preprint arXiv:1911.00672},
year = {2020}
}
Comments
2 figures