A control problem with fuel constraint and Dawson-Watanabe superprocesses
AbstractWe solve a class of control problems with fuel constraint by means of the log-Laplace transforms of $J$-functionals of Dawson-Watanabe superprocesses. This solution is related to the superprocess solution of quasilinear parabolic PDEs with singular terminal condition. For the probabilistic verification proof, we develop sharp bounds on the blow-up behavior of log-Laplace functionals of $J$-functionals, which might be of independent interest.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1207.5809.
Date of creation: Jul 2012
Date of revision: Dec 2013
Publication status: Published in Annals of Applied Probability 2013, Vol. 23, No. 6, 2472-2499
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-29 (All new papers)
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- Hans F\"ollmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.
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