Singular control of SPDEs with space-mean dynamics

DOI10.3934/MCRF.2020004zbMATH Open1459.60135OpenAlexW2990013799MaRDI 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)

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

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)

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.

Recommendations

• Singular stochastic control of a singular diffusion process
• Singular Perturbations in Ergodic Control of Diffusions
• Singular Perturbations in Stochastic Ergodic Control Problems
• scientific article; zbMATH DE number 4132079
• scientific article; zbMATH DE number 4010368
• scientific article; zbMATH DE number 18462
• Singular stochastic control for diffusions and sde with discontinuous
• Singular Stochastic Control Problems

Cites work

• scientific article; zbMATH DE number 4213893 (Why is no real title available?)
• A concise course on stochastic partial differential equations
• Applied stochastic control of jump diffusions
• Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields
• Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
• Maximum principle for semilinear stochastic evolution control systems
• On linear, degenerate backward stochastic partial differential equations
• On semi-linear degenerate backward stochastic partial differential equations
• Optimal Control of Stochastic Partial Differential Equations
• Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection
• Stochastic differential equations in infinite dimensions with applications to stochastic partial differential equations
• Stochastic evolution equations of jump type: Existence, uniqueness and large deviation princi\-ples
• Stochastic partial differential equations and filtering of diffusion processes
• Stochastic partial differential equations. A modeling, white noise functional approach
• White noise driven SPDEs with reflection

Cited in

(7)

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

This page was built for publication: Singular control of SPDEs with space-mean dynamics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2197196)