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arXiv · 2108.00244

Mean field game equations with underlying jump-diffusion process

Olga Rozanova·Ilnar Manapov
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Abstract

We consider a couple of integrodifferential PDEs arising from a stochastic Markovian control problem subjected to initial-terminal conditions. These equations correspond to the MFG system for a controlled jump-diffusion process. We prove that for a specific choice of the control function the expectation of the jump-diffusion process can be found explicitly. The study is an extension of similar results known for the pure diffusion process. As an example, we show how this can be applied to the problem of investors evaluating the trend of an asset when choosing an optimal portfolio.

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BibTeXRIS

Olga Rozanova, Ilnar Manapov. 2021-07-31. Mean field game equations with underlying jump-diffusion process. https://doi.org/10.1063/5.0100745

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