Scaling limit for stochastic control problems in population dynamics

Paul Jusselin; Thibaut Mastrolia

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arXiv · 1911.00672

Scaling limit for stochastic control problems in population dynamics

Paul Jusselin·Thibaut Mastrolia

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Abstract

Going from a scaling approach for birth/death processes, we investigate the scaling limit of solutions to non-Markovian stochastic control problems by studying the convergence of solutions to BSDEs driven a sequence of converging martingales. In particular we manage to describe how the values and optimal controls of control problems converge when the models converge towards a continuous population model.

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BibTeX RIS

Paul Jusselin, Thibaut Mastrolia. 2019-11-02. Scaling limit for stochastic control problems in population dynamics. https://arxiv.org/abs/1911.00672

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