Optimal Stopping of McKean--Vlasov Diffusions via Regression on Particle Systems
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Publication:5217945
DOI10.1137/18M1195590zbMath1440.60031arXiv1806.09483MaRDI QIDQ5217945
Denis Belomestny, John G. M. Schoenmakers
Publication date: 26 February 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.09483
Monte Carlo; optimal stopping; perturbation analysis; nonlinear stochastic systems; approximative dynamic programming
60G40: Stopping times; optimal stopping problems; gambling theory
91G80: Financial applications of other theories