Singular control of SPDEs with space-mean dynamics
Optimization and Control
2019-05-07 v2
Abstract
We consider the problem of optimal singular control of a stochastic partial differential equation (SPDE) with space-mean dependence. Such systems are proposed as models for population growth in a random environment. We obtain sufficient and necessary maximum principles for such control problems. The corresponding adjoint equation is a reflected backward stochastic partial differential equation (BSPDE) with space-mean dependence. We prove existence and uniqueness results for such equations. As an application we study optimal harvesting from a population modelled as an SPDE with space-mean dependence.
Keywords
Cite
@article{arxiv.1902.06539,
title = {Singular control of SPDEs with space-mean dynamics},
author = {Nacira Agram and Astrid Hilbert and Bernt Øksendal},
journal= {arXiv preprint arXiv:1902.06539},
year = {2019}
}
Comments
arXiv admin note: text overlap with arXiv:1807.07303