Optimal stopping of McKean-Vlasov diffusions via regression on particle systems
Numerical Analysis
2018-06-26 v1 Probability
Abstract
In this paper we study optimal stopping problems for nonlinear Markov processes driven by a McKean-Vlasov SDE and aim at solving them numerically by Monte Carlo. To this end we propose a novel regression algorithm based on the corresponding particle system and prove its convergence. The proof of convergence is based on perturbation analysis of a related linear regression problem. The performance of the proposed algorithms is illustrated by a numerical example.
Keywords
Cite
@article{arxiv.1806.09483,
title = {Optimal stopping of McKean-Vlasov diffusions via regression on particle systems},
author = {Denis Belomestny and John Schoenmakers},
journal= {arXiv preprint arXiv:1806.09483},
year = {2018}
}