Regression on particle systems connected to mean-field SDEs with applications
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Date
Volume
2464
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Journal
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WIAS Preprints
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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.
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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.