A control problem with fuel constraint and Dawson-Watanabe superprocesses
We 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.
|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|
|Contact details of provider:|| Web page: http://arxiv.org/ |
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