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arxiv: 1902.06539 · v2 · pith:QXASSFRCnew · submitted 2019-02-18 · 🧮 math.OC

Singular control of SPDEs with space-mean dynamics

classification 🧮 math.OC
keywords space-meancontroldependenceequationdifferentialoptimalpartialpopulation
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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.

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