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math.PR2023
Semilinear BSPDEs and Applications to McKean-Vlasov Control with Killing
Ben Hambly, Philipp Jettkant
We introduce a novel class of semilinear nonlocal backward stochastic partial differential equations (BSPDE) on half-spaces driven by an infinite-dimensional càdlàg martingale. The…
math.PR2023★ 1 cited
Control of McKean--Vlasov SDEs with Contagion Through Killing at a State-Dependent Intensity
Ben Hambly, Philipp Jettkant
We consider a novel McKean--Vlasov control problem with contagion through killing of particles and common noise. Each particle is killed at an exponential rate according to an inte…