Optimal control of branching diffusion processes: a finite horizon problem

DOI10.1214/17-AAP1290zbMath1386.93303arXiv1511.06809OpenAlexW2963658308WikidataQ130160443 ScholiaQ130160443MaRDI QIDQ1751960

Julien Claisse

Publication date: 25 May 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.06809

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionstochastic controldynamic programming principlebranching diffusion process

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of branching processes (60J85) Optimal stochastic control (93E20) Diffusion processes (60J60) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

Mean field games with branching, A stochastic target problem for branching diffusion processes, Scaling limit for stochastic control problems in population dynamics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal stochastic control, stochastic target problems, and backward SDE.
• Applied stochastic control of jump diffusions.
• Construction of branching diffusion processes and their optimal stochastic control
• Continuous-time Markov decision processes. Theory and applications
• Stochastic control related to branching diffusion processes
• Optimal control and filtering of the reproduction law of a branching process
• On the link between infinite horizon control and quasi-stationary distributions
• A numerical algorithm for a class of BSDEs via the branching process
• Invasion and adaptive evolution for individual-based spatially structured populations
• Controlled Markov processes and viscosity solutions
• Branching Markov processes. I
• Branching Markov processes. II
• Branching Markov processes. III
• Optimality Models in Behavioral Biology
• Branching Feller diffusion for cell division with parasite infection
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• A criterion of convergence of measure‐valued processes: application to measure branching processes
• User’s guide to viscosity solutions of second order partial differential equations
• Théorie probabiliste du contrôle des diffusions
• Branching diffusion processes in population genetics
• Compactification methods in the control of degenerate diffusions: existence of an optimal control
• Branching Diffusion Processes
• Construction et Propriétés de Martingales des Branchements Spatiaux Interactifs