Paul Jusselin, Thibaut Mastrolia
Published 2019-11-02Version 1
Going from a scaling approach for birth/death processes, we investigate the convergence of solutions to BSDEs driven a sequence of converging martingales. We apply our results to non-Markovian stochastic control problems for discrete population models. In particular we describe how the values and optimal controls of control problems converge when the models converge towards a continuous population model.
BSDEs driven by a multi-dimensional martingale and their applications to market models with funding costs
Stochastic analysis of emergence of evolutionary cyclic behavior in population dynamics with transfer
Schröder's problems and scaling limits of random trees
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