Optimal stopping of conditional McKean-Vlasov jump diffusions
DOI10.1016/J.SYSCONLE.2024.105815zbMATH Open1544.93761MaRDI QIDQ6577529
Publication date: 24 July 2024
Published in: Systems \& Control Letters (Search for Journal in Brave)
optimal stoppingcommon noisejump diffusionstochastic Fokker-Planck equationconditional McKean-Vlasov differential equation
Control/observation systems governed by partial differential equations (93C20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic systems in control theory (general) (93E03) PDEs with randomness, stochastic partial differential equations (35R60) Fokker-Planck equations (35Q84)
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