Stochastic Fokker–Planck Equations for Conditional McKean–Vlasov Jump Diffusions and Applications to Optimal Control
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common noiseconditional McKean-Vlasov differential equationHamilton-Jacobi-Bellman (HJB) equationjump diffusionlinear-quadratic optimal controlstochastic Fokker-Planck equation
Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Jump processes on general state spaces (60J76) Consumer behavior, demand theory (91B42) Optimal stochastic control (93E20)
Abstract: The purpose of this paper is to study optimal control of conditional McKean-Vlasov (mean-field) stochastic differential equations with jumps (conditional McKean-Vlasov jump diffusions, for short). To this end, we first prove a stochastic Fokker-Planck equation for the conditional law of the solution of such equations. Combining this equation with the original state equation, we obtain a Markovian system for the state and its conditional law. Furthermore, we apply this to formulate an Hamilton-Jacobi-Bellman (HJB) equation for the optimal control of conditional McKean-Vlasov jump diffusions. Then we study the situation when the law is absolutely continuous with respect to Lebesgue measure. In that case the Fokker-Planck equation reduces to a stochastic partial differential equation (SPDE) for the Radon-Nikodym derivative of the conditional law. Finally we apply these results to solve explicitly the following problems: -Linear-quadratic optimal control of conditional stochastic McKean-Vlasov jump diffusions. -Optimal consumption from a cash flow modelled as a conditional stochastic McKean-Vlasov differential equation with jumps.
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Cited in
(10)- L^2-tracking of Gaussian distributions via model predictive control for the Fokker-Planck equation
- Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls
- Fokker-Planck equations of jumping particles and mean field games of impulse control
- A Fokker-Planck based approach to control jump processes
- Impulse control of conditional McKean-Vlasov jump diffusions
- Optimal stopping of conditional McKean-Vlasov jump diffusions
- Existence and uniqueness of stochastic PDEs associated with the forward equations: an approach using alternate norms
- Conditional McKean-Vlasov differential equations with common Poissonian noise: propagation of chaos
- Deep learning for conditional McKean-Vlasov jump diffusions
- Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
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