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Optimal stopping of conditional McKean-Vlasov jump diffusions

arXiv 2207.13994 ↗First posted 28 Jul 2022math.OC math.PRcited by 1

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Abstract (arXiv)

We study the problem of optimal stopping of conditional McKean-Vlasov (mean-field) stochastic differential equations with jumps (conditional McKean-Vlasov jump diffusions, for short). We obtain sufficient variational inequalities for a function to be the value function of such a problem and for a stopping time to be optimal. To achieve this, we combine the state equation for the conditional McKean-Vlasov equation with the associated stochastic Fokker-Planck equation for the conditional law of the solution of the state. This gives us a Markovian system which can be handled by using a version of the Dynkin formula. We illustrate our result by solving explicitly two optimal stopping problems for conditional McKean-Vlasov jump diffusions. More specifically, we first find the optimal time to sell in a market with common noise and jumps, and, next, we find the stopping time to quit a project whose state is modelled by a jump diffusion, when the performance functional involves the conditional mean of the state.

Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 28 Jul 2022.

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