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Singular control of SPDEs with space-mean dynamics
Linnaeus University, Faculty of Technology, Department of Mathematics. (Stochastic analysis and stochastic processes)
Linnaeus University, Faculty of Technology, Department of Mathematics. (Stochastic analysis and stochastic processes)
University of Oslo, Norway.
(English)In: Article in journal (Refereed) Submitted
Abstract [en]

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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Computational Mathematics
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Mathematics, Mathematics
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URN: urn:nbn:se:lnu:diva-82304OAI: oai:DiVA.org:lnu-82304DiVA, id: diva2:1307464
Available from: 2019-04-26 Created: 2019-04-26 Last updated: 2019-08-28

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Agram, NaciraHilbert, Astrid

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CiteExportLink to record
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