{
  "id": "1911.00672",
  "version": "v1",
  "published": "2019-11-02T07:44:54.000Z",
  "updated": "2019-11-02T07:44:54.000Z",
  "title": "Scaling limit for solutions of BSDEs driven by population dynamics",
  "authors": [
    "Paul Jusselin",
    "Thibaut Mastrolia"
  ],
  "comment": "2 figures",
  "categories": [
    "math.PR",
    "math.OC"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2019-11-02T07:44:54.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10",
      "92D25",
      "60G48",
      "60F99",
      "60J80"
    ],
    "keywords": [
      "bsdes driven",
      "population dynamics",
      "scaling limit",
      "non-markovian stochastic control problems",
      "control problems converge"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}