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arXiv · 1902.06539

Singular control of SPDEs with space-mean dynamics

Nacira Agram·Astrid Hilbert·Bernt Øksendal
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Abstract

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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Nacira Agram, Astrid Hilbert, Bernt Øksendal. 2019-02-18. Singular control of SPDEs with space-mean dynamics. https://arxiv.org/abs/1902.06539

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