In this paper we study the classical solution to the master equation arising from mean-field games (MFGs) driven by jump-diffusion processes. The master equation, a nonlinear partial differential equation on Wasserstein space, characterizes the value function of MFGs and is challenging to analyze directly due to its measure-valued derivatives. We propose a probabilistic interpretation using coupled McKean-Vlasov forward-backward stochastic differential equations (MV-FBSDEs) with jumps. Under suitable Lipschitz and differentiability assumptions on the coefficients, we first establish the well-posedness of the MV-FBSDEs on a small time interval via a contraction mapping argument. We then prove the existence and regularity of the first- and second-order derivatives of the solutions with respect to the spatial and measure variables, relying on careful estimates involving jump terms and measure derivatives. Finally, we show that the decoupling field of the MV-FBSDEs satisfies the master equation in the classical sense, providing both existence and uniqueness of the solution. Our work extends earlier results on diffusion-driven MFGs to the jump-diffusion setting and offers a probabilistic framework for analyzing and numerically solving such kind of master equations.
Cellular reactions have multi-scale nature in the sense that the abundance of molecular species and the magnitude of reaction rates can vary in a wide range. This diversity leads to hybrid models that combine deterministic and stochastic modeling approaches. To reveal this multi-scale nature, we proposed jump-diffusion approximation in a previous study. The key idea behind the model was to partition reactions into fast and slow groups, and then to combine Markov chain updating scheme for the slow set with diffusion (Langevin) approach updating scheme for the fast set. Then, the state vector of…
The "correlated-projection technique" has been successfully applied to derive a large class of highly non Markovian dynamics, the so called non Markovian generalized Lindblad type equations or Lindblad rate equations. In this article, general unravellings are presented for these equations, described in terms of jump-diffusion stochastic differential equations for wave functions. We show also that the proposed unravelling can be interpreted in terms of measurements continuous in time, but with some conceptual restrictions. The main point in the measurement interpretation is that the structure i…
We consider a jump-diffusion mean field control problem with regime switching in the state dynamics. The corresponding value function is characterized as the unique viscosity solution of a HJB master equation on the space of probability measures. Using this characterization, we prove that the value function, which is not regular, is the limit of a finite agent centralized optimal control problem as the number of agents go to infinity, with an explicit convergence rate. Assuming in addition that the value function is smooth, we establish a quantitative propagation of chaos result for the optima…
We consider the problem of utility maximization with exponential preferences in a market where the traded stock/risky asset price is modelled as a Lévy-driven pure jump process (i.e. the driving Lévy process has no Brownian component). In this setting, we study the terminal utility optimization problem in the presence of a European contingent claim. We consider in detail the BSDE (backward stochastic differential equation) characterising the value function when using an exponential utility function. First we analyse the well-definedness of the generator. This leads to some conditions on the ma…
The cooperative dynamics of a 1-D collection of Markov jump, interacting stochastic processes is studied via a mean-field approach. In the time-asymptotic regime, the resulting nonlinear master equation is analytically solved. The nonlinearity compensates jumps induced diffusive behavior giving rise to a soliton-like stationary probability density. The soliton velocity and its sharpness both intimately depend on the interaction strength. Below a critical threshold of the strength of interactions, the cooperative behavior cannot be sustained leading to the destruction of the soliton-like soluti…
We are interested by the behaviour of a 1D single heavy particle, interacting with an environment made of very fast particles in a thermal state. Assuming that the interactions are instantaneous, we construct an appropriate quantum jump process for the density operator of the heavy particle. In a weak-coupling limit (many interactions with few effect), we show that the solutions of jump process converge in law in the appropriate space towards the solution of a Lindbald master equation. To the best of our knowledge, it seems to be the first rigorous derivation of a dissipative quantum evolution…
In this paper, we study the homogenization of a diffusion process with jumps, that is, Feller process generated by an integro-differential operator. This problem is closely related to the problem of homogenization of boundary value problems arising in studying the behavior of heterogeneous media. Under the assumptions that the corresponding generator has vanishing drift coefficient, rapidly periodically oscillating diffusion and jump coefficients, that it admits only "small jumps" (that is, the jump kernel has finite second moment) and under certain additional regularity conditions, we prove t…
In this paper we study second order master equations arising from mean field games with common noise over arbitrary time duration. A classical solution typically requires the monotonicity condition (or small time duration) and sufficiently smooth data. While keeping the monotonicity condition, our goal is to relax the regularity of the data, which is an open problem in the literature. In particular, we do not require any differentiability in terms of the measures, which prevents us from obtaining classical solutions. We shall propose three weaker notions of solutions, named as {\it good soluti…
We study the ergodic properties of a class of multidimensional piecewise Ornstein-Uhlenbeck processes with jumps, which contains the limit of the queueing processes arising in multiclass many-server queues with heavy-tailed arrivals and/or asymptotically negligible service interruptions in the Halfin-Whitt regime as special cases. In these queueing models, the Itô equations have a piecewise linear drift, and are driven by either (1) a Brownian motion and a pure-jump Lévy process, or (2) an anisotropic Lévy process with independent one-dimensional symmetric $α$-stable components, or (3) an anis…
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.
We consider a continuous-time Ehrenfest model defined over the integers from -N to N, and subject to catastrophes occurring at constant rate. The effect of each catastrophe instantaneously resets the process to state 0. We investigate both the transient and steady-state probabilities of the above model. Further, the first passage time through state 0 is discussed. We perform a jump-diffusion approximation of the above model, which leads to the Ornstein-Uhlenbeck process with catastrophes. The underlying jump-diffusion process is finally studied, with special attention to the symmetric case ari…
In this paper, we study forward-backward doubly stochastic differential equations driven by Brownian motions and Poisson process (FBDSDEP in short). Both the probabilistic interpretation for the solutions to a class of quasilinear stochastic partial differential-integral equations (SPDIEs in short) and stochastic Hamiltonian systems arising in stochastic optimal control problems with random jumps are treated with FBDSDEP. Under some monotonicity assumptions, the existence and uniqueness results for measurable solutions of FBDSDEP are established via a method of continuation. Furthermore, the c…
We consider a jump-diffusion process on a bounded domain with reflection at the boundary, and establish long-term results for a general additive process of its path. This includes the long-term behaviour of its occupation time in the interior and on the boundaries. We derive a characterization of the large deviation rate function which quantifies the rate of exponential decay of probabilities of rare events for paths of the process. The characterization relies on a solution of a partial integro-differential equation (PIDE) with boundary constraints. We develop a practical implementation of our…
We investigate confined Lévy flights under premises of the principle of detailed balance. The master equation admits a transformation to Lévy - Schrödinger semigroup dynamics (akin to a mapping of the Fokker-Planck equation into the generalized diffusion equation). We solve a stochastic targeting problem for arbitrary stability index $0<μ<2$ of Lévy drivers: given an invariant probability density function (pdf), specify the jump - type dynamics for which this pdf is a long-time asymptotic target. Our ("$μ$-targeting") method is exemplified by Cauchy family and Gaussian target pdfs. We solve th…
