WIAS Preprint No. 2464, (2017)

Regression on particle systems connected to mean-field SDEs with applications



Authors

  • Belomestny, Denis
  • Schoenmakers, John G. M.
    ORCID: 0000-0002-4389-8266

2010 Mathematics Subject Classification

  • 60H10 60K35 62L15

Keywords

  • McKean-Vlasov equations, optimal stopping, regression, Bellman principle

DOI

10.20347/WIAS.PREPRINT.2464

Abstract

In this note we consider the problem of using regression on interacting particles to compute conditional expectations for McKean-Vlasov SDEs. We prove general result on convergence of linear regression algorithms and establish the corresponding rates of convergence. Application to optimal stopping and variance reduction are considered.

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