A control problem with fuel constraint and Dawson-Watanabe superprocesses

Alexander Schied

Papers from arXiv.org

Abstract: We solve a class of control problems with fuel constraint by means of the log-Laplace transforms of $J$-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 $J$-functionals, which might be of independent interest.

Date: 2012-07, Revised 2013-12
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Citations: View citations in EconPapers (24)

Published in Annals of Applied Probability 2013, Vol. 23, No. 6, 2472-2499

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