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pro vyhledávání: '"Jettkant, Philipp"'
Autor:
Jettkant, Philipp
We discuss equivalent formulations of the control of conditional processes introduced by Lions. In this problem, a controlled diffusion process is killed once it hits the boundary of a bounded domain and the controller's reward is computed based on t
Externí odkaz:
http://arxiv.org/abs/2409.15195
Autor:
Hambly, Ben, Jettkant, Philipp
We consider a control problem for the nonlinear stochastic Fokker--Planck equation. This equation describes the evolution of the distribution of nonlocally interacting particles affected by a common source of noise. The system is directed by a contro
Externí odkaz:
http://arxiv.org/abs/2406.16512
Autor:
Hambly, Ben, Jettkant, Philipp
We introduce a novel class of semilinear nonlocal backward stochastic partial differential equations (BSPDE) on half-spaces driven by an infinite-dimensional c\`adl\`ag martingale. The equations exhibit a degeneracy and have no explicit condition at
Externí odkaz:
http://arxiv.org/abs/2312.13468
Autor:
Hambly, Ben, Jettkant, Philipp
We consider a novel McKean--Vlasov control problem with contagion through killing of particles and common noise. Each particle is killed at an exponential rate according to an intensity process that increases whenever the particle is located in a spe
Externí odkaz:
http://arxiv.org/abs/2310.15854