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- W4288804194 abstract "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." @default.
- W4288804194 created "2022-07-30" @default.
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- W4288804194 date "2022-07-28" @default.
- W4288804194 modified "2023-10-16" @default.
- W4288804194 title "Optimal stopping of conditional McKean-Vlasov jump diffusions" @default.
- W4288804194 doi "https://doi.org/10.48550/arxiv.2207.13994" @default.
- W4288804194 hasPublicationYear "2022" @default.
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