Particle Approximation for Conditional Control with Soft Killing

Abstract

The aim of this paper is to develop a particle approximation for the conditional control problem introduced by P.-L. Lions during his lectures at the Collège de France in November 2016. We focus on a \textit{soft killing} relaxed version of the problem, which admits a natural counterpart in terms of stochastic optimal control for a large number of interacting particles. Each particle contributes to the overall population cost through a time-evolving weight that depends on the trajectories of all the other particles. Using recently developed techniques for the analysis of the value function associated with the limiting problem, we establish sharp convergence rates as the number of particles tends to infinity.

28 pages