Conditional Expectation expression in mean-field SDEs and its applications
Probability
2026-02-17 v1 Numerical Analysis
Numerical Analysis
Abstract
This study developed a novel formulation of conditional expectations within the framework of a jump-diffusion mean-field stochastic differential equation. We introduce an integrated approach that combines unconditioned expectations with rigorously defined weighting factors, employing Malliavin calculus on Poisson space and directional derivatives to enhance estimation accuracy. \noindent The proposed method is applied to the numerical pricing of American put options in a jump-diffusion mean-field setting, addressing the challenges proposed by early-exercise features. Comprehensive numerical experiments demonstrate substantial improvements in pricing accuracy compared with conventional techniques.
Keywords
Cite
@article{arxiv.2602.14479,
title = {Conditional Expectation expression in mean-field SDEs and its applications},
author = {Samaneh Sojudi and Mahdieh Tahmasebi},
journal= {arXiv preprint arXiv:2602.14479},
year = {2026}
}