Singular control of SPDEs with space-mean dynamics

DOI10.3934/MCRF.2020004zbMATH Open1459.60135arXiv1902.06539OpenAlexW2990013799MaRDI QIDQ2197196FDOQ2197196

Authors: N. Agram, Astrid Hilbert, B. Øksendal 

Publication date: 28 August 2020

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Abstract: We consider the problem of optimal singular control of a stochastic partial differential equation (SPDE) with space-mean dependence. Such systems are proposed as models for population growth in a random environment. We obtain sufficient and necessary maximum principles for such control problems. The corresponding adjoint equation is a reflected backward stochastic partial differential equation (BSPDE) with space-mean dependence. We prove existence and uniqueness results for such equations. As an application we study optimal harvesting from a population modelled as an SPDE with space-mean dependence.

Full work available at URL: https://arxiv.org/abs/1902.06539

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zbMATH Keywords

stochastic partial differential equationsmaximum principleoptimal harvestingreflected backward stochastic partial differential equationsspace-mean dependencespace-mean reaction diffusion equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Optimal stochastic control (93E20)

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Cited In (7)

• Singular ergodic control for multidimensional Gaussian processes
• On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach
• A stochastic optimal control problem governed by SPDEs via a spatial-temporal interaction operator
• Optimal controls for stochastic partial differential equations with an application in population modeling
• Singular ergodic control for multidimensional Gaussian–Poisson processes
• SPDEs with space interactions and application to population modelling
• On a Class of Infinite-Dimensional Singular Stochastic Control Problems

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