Semilinear BSPDEs and Applications to McKean-Vlasov Control with Killing

Ben Hambly; Philipp Jettkant

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arXiv · 2312.13468

Semilinear BSPDEs and Applications to McKean-Vlasov Control with Killing

Ben Hambly·Philipp Jettkant

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Abstract

We introduce a novel class of semilinear nonlocal backward stochastic partial differential equations (BSPDE) on half-spaces driven by an infinite-dimensional càdlàg martingale. The equations exhibit a degeneracy and have no explicit condition at the boundary of the half-space. To treat the existence and uniqueness of such BSPDEs we establish a generalisation of Itô's formula for infinite-dimensional càdlàg semimartingales, which addresses the occurrence of boundary terms. Next, we employ these BSPDEs to study the McKean--Vlasov control problem with killing and common noise proposed in [HJ23]. The particles in this control model live on the real line and are killed at a positive intensity whenever they are in the negative half-line. Accordingly, the interaction between particles occurs through the subprobability distribution of the living particles. We establish the existence of an optimal semiclosed-loop control that only depends on the particles' location and not their cumulative intensity. This problem cannot be addressed through classical mimicking arguments, because the particles' subprobability distribution cannot be reconstructed from their location alone. Instead, we represent optimal controls in terms of the solutions to BSPDEs of the above type and show those solutions do not depend on the intensity variable.

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BibTeX RIS

Ben Hambly, Philipp Jettkant. 2023-12-20. Semilinear BSPDEs and Applications to McKean-Vlasov Control with Killing. https://arxiv.org/abs/2312.13468

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