Mean field game equations with underlying jump-diffusion process

Autor:	Rozanova, Olga, Manapov, Ilnar
Rok vydání:	2021
Předmět:	Mathematical Physics Mathematics - Optimization and Control Mathematics - Probability 35Q89
Druh dokumentu:	Working Paper
DOI:	10.1063/5.0100745
Popis:	We consider a couple of integrodifferential PDEs arising from a stochastic Markovian control problem subjected to initial-terminal conditions. These equations correspond to the MFG system for a controlled jump-diffusion process. We prove that for a specific choice of the control function the expectation of the jump-diffusion process can be found explicitly. The study is an extension of similar results known for the pure diffusion process. As an example, we show how this can be applied to the problem of investors evaluating the trend of an asset when choosing an optimal portfolio. Comment: 8 pages. arXiv admin note: substantial text overlap with arXiv:1911.09441
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2108.00244 Zobrazit plný text záznamu View this record from Arxiv