Regression on particle systems connected to mean-field SDEs with applications
- Belomestny, Denis
- Schoenmakers, John G. M.
2010 Mathematics Subject Classification
- 60H10 60K35 62L15
- McKean-Vlasov equations, optimal stopping, regression, Bellman principle
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.
- SIAM J. Control Optim., 58 (2020), pp. 529--550; changed title: Optimal stopping of McKean-Vlasov diffusions via regression on particle systems, DOI 10.1137/18M1195590 .