Regression on particle systems connected to mean-field SDEs with applications
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Date
2017
Volume
2464
Issue
Journal
Series Titel
Book Title
Publisher
Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik
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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.
Description
Keywords
McKean-Vlasov equations, optimal stopping, regression, Bellman principle
Citation
Belomestny, D., & Schoenmakers, J. G. M. (2017). Regression on particle systems connected to mean-field SDEs with
applications (Vol. 2464). Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik. https://doi.org//10.20347/WIAS.PREPRINT.2464
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This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties.
This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties.