Control of conditional processes and Fleming-Viot dynamics (Q6920600)

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.