Stochastic control related to branching diffusion processes (Q1076434)
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scientific article; zbMATH DE number 3954001
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic control related to branching diffusion processes |
scientific article; zbMATH DE number 3954001 |
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Stochastic control related to branching diffusion processes (English)
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1985
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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.
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stochastic optimal control problem
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Hamilton-Jacobi-Bellman equation
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branching diffusion problem
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