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arXiv · 2306.15962

Controlled superprocesses and HJB equation in the space of finite measures

Antonio Ocello
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Abstract

This paper introduces the formalism required to analyze a certain class of stochastic control problems that involve a super diffusion as the underlying controlled system. To establish the existence of these processes, we show that they are weak scaling limits of controlled branching processes. First, we prove a generalized Itô's formula for this dynamics in the space of finite measures, using the differentiation in the space of finite positive measures. This lays the groundwork for a PDE characterization of the value function of a control problem, which leads to a verification theorem. Finally, focusing on an exponential-type value function, we show how a regular solution to a finite--dimensional HJB equation can be used to construct a smooth solution to the HJB equation in the space of finite measures, via the so-called branching property technique.

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Antonio Ocello. 2024-11-18. Controlled superprocesses and HJB equation in the space of finite measures. https://arxiv.org/abs/2306.15962

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