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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.
Year of publication:
2012-07
Authors: Schied, Alexander
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
Notes:
Published in Annals of Applied Probability 2013, Vol. 23, No. 6, 2472-2499
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Persistent link: https://www.econbiz.de/10010720322
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