Year: 2026
Type: preprint
Abstract: We study partially observed McKean--Vlasov jump-diffusions with controlled counting intensities that may vanish and depend on the unconditional physical state distribution. A deterministic upper bound on the likelihood supports one-sided state--likelihood variations, a smooth-test-function expansion of the physical state marginal, and a necessary maximum principle without inverse intensity or likelihood terms. We also establish a one-sided total-variation derivative of the physical probability on the fixed noise space, including a nonnegative singular component on baseline-null histories. A quadratic example shows, within a specified policy family and under explicit conditions, that positive variance feedback raises the first-order activation fee threshold while negative feedback lowers it.
Source: arXiv (Cornell University)
Authors: Xiong, Jie, Yang, Ying
Institution: Southern University of Science and Technology
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
Awards: G1351101462, G259192822
OpenAlex ID: W7223246481