Optimal control of branching diffusion processes: a finite horizon problem
DOI10.1214/17-AAP1290zbMath1386.93303arXiv1511.06809OpenAlexW2963658308WikidataQ130160443 ScholiaQ130160443MaRDI QIDQ1751960
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
Hamilton-Jacobi-Bellman equationviscosity solutionstochastic controldynamic programming principlebranching diffusion process
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)
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