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

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dc.bibliographicCitation.seriesTitleWIAS Preprintseng
dc.bibliographicCitation.volume2464
dc.contributor.authorBelomestny, Denis
dc.contributor.authorSchoenmakers, John G.M.
dc.date.accessioned2018-03-30T04:31:52Z
dc.date.available2019-06-28T08:03:23Z
dc.date.issued2017
dc.description.abstractIn 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.
dc.description.versionpublishedVersioneng
dc.formatapplication/pdf
dc.identifier.issn2198-5855
dc.identifier.urihttps://doi.org/10.34657/3058
dc.identifier.urihttps://oa.tib.eu/renate/handle/123456789/2028
dc.language.isoengeng
dc.publisherBerlin : Weierstraß-Institut für Angewandte Analysis und Stochastik
dc.relation.doihttps://doi.org/10.20347/WIAS.PREPRINT.2464
dc.relation.issn0946-8633eng
dc.rights.licenseDieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden.ger
dc.rights.licenseThis 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.eng
dc.subject.ddc510
dc.subject.otherMcKean-Vlasov equationseng
dc.subject.otheroptimal stoppingeng
dc.subject.otherregressioneng
dc.subject.otherBellman principleeng
dc.titleRegression on particle systems connected to mean-field SDEs with applications
dc.typeReporteng
dc.typeTexteng
tib.accessRightsopenAccesseng
wgl.contributorWIASeng
wgl.subjectMathematikeng
wgl.typeReport / Forschungsbericht / Arbeitspapiereng
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