Controlled superprocesses and HJB equation in the space of finite measures

TL;DR

This paper develops a mathematical framework for stochastic control problems involving super diffusion processes in the space of finite measures, establishing PDE characterizations and solution techniques for associated HJB equations.

Contribution

It introduces a generalized Itô's formula in the space of finite measures and links finite-dimensional HJB solutions to infinite-dimensional problems using branching properties.

Findings

Established weak limits of controlled branching processes.

Derived a generalized Itô's formula for measure-valued dynamics.

Connected finite-dimensional HJB solutions to infinite-dimensional PDEs.

Abstract

This paper introduces the formalism required to analyze a certain class of stochastic control problems that involve a super diffusion as the underlying controlled system. To establish the existence of these processes, we show that they are weak scaling limits of controlled branching processes. First, we prove a generalized It\^o's formula for this dynamics in the space of finite measures, using the differentiation in the space of finite positive measures. This lays the groundwork for a PDE characterization of the value function of a control problem, which leads to a verification theorem. Finally, focusing on an exponential-type value function, we show how a regular solution to a finite--dimensional HJB equation can be used to construct a smooth solution to the HJB equation in the space of finite measures, via the so-called branching property technique.