Stochastic control related to branching diffusion processes (Q1076434)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic control related to branching diffusion processes |
scientific article |
Statements
Stochastic control related to branching diffusion processes (English)
0 references
1985
0 references
The author considers a stochastic optimal control problem for a branching diffusion process. The value function is given by an integral equation which is naturally related to the Hamilton-Jacobi-Bellman equation for the stochastic control problem. Next, a number of regularity properties of the value function is proved and these results are applied to the branching diffusion problem.
0 references
stochastic optimal control problem
0 references
Hamilton-Jacobi-Bellman equation
0 references
branching diffusion problem
0 references
