Scaling limit for solutions of BSDEs driven by population dynamics
Résumé
Going from a scaling approach for birth/death processes, we investigate the convergence of solutions to BSDEs driven a sequence of converging martingales. We apply our results to non-Markovian stochastic control problems for discrete population models. In particular we describe how the values and optimal controls of control problems converge when the models converge towards a continuous population model.
| Origine | Fichiers produits par l'(les) auteur(s) |
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