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Pré-Publication, Document De Travail Année : 2023

Controlled superprocesses and HJB equation in the space of finite measures

Résumé

This paper introduces the formalism required to analyze a certain class of stochastic control problems that involve a super diffusion as the underlying controlled system. To establish the existence of these processes, we show that they are weak scaling limits of controlled branching processes. By proving their uniqueness in law, we can establish a dynamic programming principle for our stochastic control problem. This lays the groundwork for a PDE characterization of the associated value function, which is based on the concept of derivations in the space of finite positive measures. We also establish a verification theorem. To illustrate this approach, we focus on an exponential-type value function and show how a regular solution to a finite-dimensional HJB equation can be used to construct a smooth solution to the HJB equation in the space of finite measures.
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Dates et versions

hal-04145247 , version 1 (29-06-2023)
hal-04145247 , version 2 (17-07-2023)

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Antonio Ocello. Controlled superprocesses and HJB equation in the space of finite measures. 2023. ⟨hal-04145247v2⟩
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