Optimal Stopping of McKean--Vlasov Diffusions via Regression on Particle Systems

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

zbMATH Keywords

Monte Carlooptimal stoppingperturbation analysisnonlinear stochastic systemsapproximative dynamic programming

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Related Items

Dynamic Programming Equation for the Mean Field Optimal Stopping Problem ⋮ Dynamic programming for optimal stopping via pseudo-regression

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