Control of conditional processes and Fleming-Viot dynamics

DOI10.1214/25-EJP1403MaRDI QIDQ6920600zbMATH OpenFDO

Authors Philipp Jettkant

Publication date 7 October 2025

Published in Electronic Journal of Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://projecteuclid.org/journals/electronic-journal-of-probability/volume-30/issue-none/Control-of-conditional-processes-and-FlemingViot-dynamics/10.1214/25-EJP1403.full

zbMATH Keywords

closed loop controlscontrolled diffusionsopen loop controlsstochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Optimal stochastic control (93E20)

Review text

The article considers the evolution of a controlled non-degenerate diffusion conditioned on not exiting from a bounded domain, and derives its dynamics as a McKean-Vlasov type stochastic differential equation wherein the drift at time \(t\) also depends on the conditional law of the process at time \(t\), conditioned on the process not having exited from the domain till time \(t\). In this framework, equivalence of open loop (i.e., general non-anticipative) and closed loop (i.e., feedback) controls is established. It also relates the closed loop formulation with a Fleming-Viot-type process wherein the diffusion restarts on exit from a random point in the domain according to its instantaneous distribution. This leads to a McKean-Vlasov-type dynamics with an additional jump component. The well-posedness of the corresponding stochastic differential equation is established. This leads to an equivalent control problem.

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